Estimating the State Vector of Linearized DSGE Models without the Kalman Filter
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Other versions of this item:
- Kollmann, Robert, 2013. "Estimating the state vector of linearized DSGE models without the Kalman filter," Economics Letters, Elsevier, vol. 120(1), pages 65-66.
References listed on IDEAS
- 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.
- Stephanie Schmitt-Grohe & Martin Uribe, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," Departmental Working Papers 200106, Rutgers University, Department of Economics.
- Stephanie Schmitt-Grohe & Martin Uribe, 2002. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," NBER Technical Working Papers 0282, National Bureau of Economic Research, Inc.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," CEPR Discussion Papers 2963, C.E.P.R. Discussion Papers.
More about this item
KeywordsDSGE Models; Kalman Filter; smoothing;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-08 (All new papers)
- NEP-DGE-2013-02-08 (Dynamic General Equilibrium)
- NEP-ECM-2013-02-08 (Econometrics)
- NEP-ETS-2013-02-08 (Econometric Time Series)
- NEP-MAC-2013-02-08 (Macroeconomics)
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