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

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  • Andy Bauer
  • Nicholas Haltom
  • Juan Francisco Rubio-Ramirez

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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File URL: http://www.frbatlanta.org/filelegacydocs/wp0332.pdf
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Bibliographic Info

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. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
  2. Harald Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
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