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

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  • Robert Kollmann

Abstract

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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Suggested Citation

  • Robert Kollmann, 2013. "Estimating the State Vector of Linearized DSGE Models without the Kalman Filter," Working Papers ECARES ECARES 2013-08, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:eca:wpaper:2013/139176
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/139176/1/2013-08-KOLLMANN-estimating.pdf
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    References listed on IDEAS

    as
    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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    Cited by:

    1. Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, vol. 181(C), pages 22-27.
    2. Benmir, Ghassane & Jaccard, Ivan & Vermandel, Gauthier, 2020. "Green asset pricing," Working Paper Series 2477, European Central Bank.
    3. Sorge, Marco M., 2013. "Generalized adaptive expectations revisited," Economics Letters, Elsevier, vol. 120(2), pages 203-205.

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    More about this item

    Keywords

    DSGE Models; Kalman Filter; smoothing;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models

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