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.

MoreLess

Year of publication:	2010-03
Authors:	Sorge, Marco M.
Institutions:	University of Bonn, Germany
Subject:	Nonlinear dynamic systems \| Rational Expectations \| Extended Kalman Filter

More details

Extent:	application/pdf
Series:	Bonn Econ Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	7 pages long
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010895828