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Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model

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Author Info
Andy Bauer
Nicholas Haltom
Juan Francisco Rubio-Ramirez

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Abstract

This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.

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Paper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 2003-32.

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Date of creation: 2003
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Handle: RePEc:fip:fedawp:2003-32

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  1. Uhlig, H., 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper 97, Tilburg University, Center for Economic Research. [Downloadable!]
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  2. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February. [Downloadable!] (restricted)
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This page was last updated on 2008-9-26.

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