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Odhad parametrù modelù ve stavovém tvaru

Listed author(s):
  • Jan Vlèek

Èlánek struènì shrnuje dosavadní pøístupy k odhadu parametrù a poèáteèních podmínek pro modely ve stavovém tvaru. Ukazuje možnosti využití jednotlivých metod, stejnì jako jejich výhody a nevýhody. Podrobnìji je zde zmiòována metoda maximální vìrohodnosti pro modely ve stavovém tvaru, která k výpoètu vìrohodnostní funkce využívá výstupy Kalmanova filtru. Výhodou této metody je její relativní jednoduchost, a zejména možnost použití pro odhad parametrù a poèáteèních podmínek pro modely ve stavovém tvaru. V druhé èásti èlánku je metoda využita pro odhad parametrù malého monetárního modelu otevøené ekonomiky. Model je odvozen na mikroekonomických základech a odhadnut prezentovanou metodou na èeských datech.

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Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 52 (2002)
Issue (Month): 5 (May)
Pages: 275-286

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Handle: RePEc:fau:fauart:v:52:y:2002:i:5:p:275-286
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