Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model
AbstractThis 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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Bibliographic InfoPaper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 2003-32.
Date of creation: 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-29 (All new papers)
- NEP-CMP-2004-02-29 (Computational Economics)
- NEP-DGE-2004-02-29 (Dynamic General Equilibrium)
- NEP-ECM-2004-03-03 (Econometrics)
- NEP-ETS-2004-02-29 (Econometric Time Series)
- NEP-MAC-2004-02-29 (Macroeconomics)
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