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

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.

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Year of publication:	2010
Authors:	Sorge, Marco Maria
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 3, p. 2002-2009
Publisher:	AccessEcon
Subject:	Nonlinear dynamic systems \| Rational Expectations \| Extended Kalman Filter

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008500618