DSGE model estimation on base of second order approximation
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper 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.
Length: 16 pages
Date of creation: 20 Sep 2011
Date of revision: 20 Sep 2011
DSGE; QKF; CDKF; UKF; quadratic approximation; Kalman filtering;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-01 (All new papers)
- NEP-CBA-2011-10-01 (Central Banking)
- NEP-DGE-2011-10-01 (Dynamic General Equilibrium)
- NEP-ECM-2011-10-01 (Econometrics)
- NEP-ETS-2011-10-01 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tovar, Camilo Ernesto, 2008.
"DSGE Models and Central Banks,"
Economics Discussion Papers
2008-30, Kiel Institute for the World Economy.
- Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(16), pages 1-31.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yuriy Balagula).
If references are entirely missing, you can add them using this form.