Block Kalman filtering for large-scale DSGE models
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- Ingvar Strid & Karl Walentin, 2009. "Block Kalman Filtering for Large-Scale DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 277-304, April.
References listed on IDEAS
- Adolfson, Malin & Laseen, Stefan & Linde, Jesper & Villani, Mattias, 2007.
"Bayesian estimation of an open economy DSGE model with incomplete pass-through,"
Journal of International Economics,
Elsevier, vol. 72(2), pages 481-511, July.
- Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through," Working Paper Series 179, Sveriges Riksbank (Central Bank of Sweden).
- Christoffel, Kai & Coenen, Gunter & Warne, Anders, 2007. "Conditional versus unconditional forecasting with the New Area-Wide Model of the euro area," MPRA Paper 76759, University Library of Munich, Germany.
- Ivano Azzini & Riccardo Girardi & Marco Ratto, 2007. "Parallelization of Matlab codes under Windows platform for Bayesian estimation: A Dynare application," Working Papers 1, Euro-area Economy Modelling Centre.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Edward Herbst, 2015.
"Using the “Chandrasekhar Recursions” for Likelihood Evaluation of DSGE Models,"
Springer;Society for Computational Economics, vol. 45(4), pages 693-705, April.
- Edward Herbst, 2012. "Using the "Chandrasekhar Recursions" for likelihood evaluation of DSGE models," Finance and Economics Discussion Series 2012-35, Board of Governors of the Federal Reserve System (U.S.).
- Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," SSE/EFI Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.
- Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2814-2835, November.
More about this item
KeywordsKalman filter; DSGE model; Bayesian estimation; Computational speed; Algorithm; Fortran; Matlab;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-14 (All new papers)
- NEP-DGE-2008-07-14 (Dynamic General Equilibrium)
- NEP-ECM-2008-07-14 (Econometrics)
- NEP-ETS-2008-07-14 (Econometric Time Series)
- NEP-ORE-2008-07-14 (Operations Research)
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