Sigma Point Filters for Dynamic Nonlinear Regime Switching Models

Arbeitspapier

In this paper we take three well known Sigma Point Filters, namely the Unscented Kalman Filter, the Divided Difference Filter, and the Cubature Kalman Filter, and extend them to allow for a very general class of dynamic nonlinear regime switching models. Using both a Monte Carlo study and real data, we investigate the properties of our proposed filters by using a regime switching DSGE model solved using nonlinear methods. We find that the proposed filters perform well. They are both fast and reasonably accurate, and as a result they will provide practitioners with a convenient alternative to Sequential Monte Carlo methods. We also investigate the concept of observability and its implications in the context of the nonlinear filters developed and propose some heuristics. Finally, we provide in the RISE toolbox, the codes implementing these three novel filters.

Object Details

• ISBN: 978-82-7553-867-1
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 10/2015

Classification and Topics

• Classification: Wirtschaft
• Subject: non-linear DSGE estimation ; regime-switching ; higher-order perturbation ; sigma point filters ; observability

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Binning, Andrew ; Maih, Junior
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/210077
• Last update: 10.03.2025, 11:43 AM CET