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Block Kalman filtering for large-scale DSGE models

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Author Info
Strid, Ingvar () (Stockholm School of Economics)
Walentin, Karl () (Research Department, Central Bank of Sweden)

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Abstract

In this paper block Kalman filters for Dynamic Stochastic General Equilibrium models are presented and evaluated. Our approach is based on the simple idea of writing down the Kalman filter recursions on block form and appropriately sequencing the operations of the prediction step of the algorithm. It is argued that block filtering is the only viable serial algorithmic approach to significantly reduce Kalman filtering time in the context of large DSGE models. For the largest model we evaluate the block filter reduces the computation time by roughly a factor 2. Block filtering compares favourably with the more general method for faster Kalman filtering outlined by Koopman and Durbin (2000) and, furthermore, the two approaches are largely complementary

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Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 224.

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Length: 34 pages
Date of creation: 01 Jun 2008
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Handle: RePEc:hhs:rbnkwp:0224

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Related research
Keywords: Kalman filter; DSGE model; Bayesian estimation; Computational speed; Algorithm; Fortran; Matlab;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General

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  1. Koopman, S.J. & Durbin, J., 1998. "Fast filtering and smoothing for multivariate state space models," Discussion Paper 18, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Adolfson, Malin & Laseen, Stefan & Linde, Jesper & Villani, Mattias, 2007. "Bayesian estimation of an open economy DSGE model with incomplete pass-through," Journal of International Economics, Elsevier, vol. 72(2), pages 481-511, July. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," Working Paper Series in Economics and Finance 706, Stockholm School of Economics. [Downloadable!]
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