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Estimating the State Vector of Linearized DSGE Models without the Kalman Filter

  • Robert Kollmann

This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/139176/1/2013-08-KOLLMANN-estimating.pdf
File Function: 2013-08-KOLLMANN-estimating
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2013-08.

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Length: 3 p.
Date of creation: Jan 2013
Date of revision:
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/139176
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  1. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
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