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 M.
Publisher:	Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE)
Subject:	Nichtlineare dynamische Systeme \| Rationale Erwartung \| Zustandsraummodell \| Theorie \| Nonlinear dynamic systems \| Rational Expectations \| Extended Kalman Filter

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Series:	Bonn Econ Discussion Papers ; 04/2010
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	623316242 [GVK] hdl:10419/38798 [Handle] RePEc:zbw:bonedp:042010 [RePEc]
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	EconStor

Persistent link: https://www.econbiz.de/10010270416