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Odhad parametrù modelù ve stavovém tvaru


  • 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.

Suggested Citation

  • Jan Vlèek, 2002. "Odhad parametrù modelù ve stavovém tvaru," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 52(5), pages 275-286, May.
  • Handle: RePEc:fau:fauart:v:52:y:2002:i:5:p:275-286

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    stavový popis; maximální vìrohodnost; Kalmanùv filtr;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General


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