Employing Extended Kalman Filter in a Simple Macroeconomic Model

In this study, the estimation power of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropriate methodology to estimate both state variables and the parameters. The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.

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Year of publication:	2003
Authors:	Ozbek, Levent ; Ozlale, Umit ; Ozturk, Fikri
Published in:	Central Bank Review. - Türkiye Cumhuriyet Merkez Bankası. - Vol. 3.2003, 1, p. 53-65
Publisher:	Türkiye Cumhuriyet Merkez Bankası
Subject:	Extended Kalman Filter

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Extent:	application/pdf
Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005689715