Arbeitspapier

Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model

This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.

Language: Englisch

Bibliographic citation: Series: Working Paper ; No. 2003-32

Classification: Wirtschaft

Event: Geistige Schöpfung

(who): Bauer, Andy
Haltom, Nicholas
Rubio-Ramirez, Juan Francisco

Event: Veröffentlichung

(who): Federal Reserve Bank of Atlanta

(where): Atlanta, GA

(when): 2003

Handle: http://hdl.handle.net/10419/100852

Last update: 10.03.2025, 11:42 AM CET

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Arbeitspapier

Associated

Bauer, Andy
Haltom, Nicholas
Rubio-Ramirez, Juan Francisco
Federal Reserve Bank of Atlanta

Time of origin

2003

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Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model

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Other Objects (12)

Estimationstheorie, 2.. Anwendungen - Kalman-Filter

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