The Accuracy of Linear and Nonlinear Estimation in the Presence of the Zero Lower Bound
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DOI: 10.24149/wp1804
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More about this item
Keywords
Bayesian estimation; nonlinear solution; particle filter; unscented Kalman filter;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2018-05-21 (All new papers)
- NEP-DGE-2018-05-21 (Dynamic General Equilibrium)
- NEP-ECM-2018-05-21 (Econometrics)
- NEP-MAC-2018-05-21 (Macroeconomics)
- NEP-ORE-2018-05-21 (Operations Research)
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