A note on Kalman filter approach to solution of rational expectations models

by Marco M. Sorge

In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required. -- Nonlinear dynamic systems ; Rational Expectations ; Extended Kalman Filter

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Year of publication:	2010
Authors:	Sorge, Marco M.
Publisher:	Bonn : Graduate School of Economics
Subject:	Nichtlineare Dynamik \| Nonlinear dynamics \| Rationale Erwartung \| Rational expectations \| Zustandsraummodell \| State space model \| Theorie \| Theory

Extent:	Online-Ressource (7 S.)
Series:	Bonn Econ Discussion Papers / BGSE. - Bonn : Univ., ZDB-ID 2124986-6. - Vol. 2010,04
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/38798 [Handle]
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003951007