Estimating the state vector of linearized DSGE models without the Kalman filter

This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations.

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Year of publication:	2013
Authors:	Kollmann, Robert
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 1, p. 65-66
Publisher:	Elsevier
Subject:	DSGE models \| Kalman filter \| Smoothing

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Type of publication:	Article
Classification:	E37 - Forecasting and Simulation ; C32 - Time-Series Models ; C68 - Computable General Equilibrium Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010665674