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DSGE model estimation on base of second order approximation

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  • Sergey Ivashchenko

Abstract

This article compares properties of different non-linear Kalman filters: well-known Unscented Kalman filter (UKF), Central Difference Kalman Filter (CDKF) and unknown Quadratic Kalman filter (QKF). Small financial DSGE model is repeatedly estimated by maximum quasi-likelihood methods with different filters for data generated by the model. Errors of parameters estimation are measure of filters quality. The result is that QKF has reasonable advantage in quality over CDKF and UKF with some loose in speed.

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File URL: http://www.eu.spb.ru/images/ec_dep/wp/ec-07_11.pdf
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Bibliographic Info

Paper provided by European University at St. Petersburg, Department of Economics in its series EUSP Deparment of Economics Working Paper Series with number Ec-07/11.

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Length: 16 pages
Date of creation: 20 Sep 2011
Date of revision: 20 Sep 2011
Handle: RePEc:eus:wpaper:ec0711

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Keywords: DSGE; QKF; CDKF; UKF; quadratic approximation; Kalman filtering;

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  1. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements.
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