Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Year of publication: |
2013-05
|
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Authors: | Kollmann, Robert |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | latent state filtering | estimation of DSGE models | second-order approximation | pruning | Kalman filter | particle filter | quasi-maximum likelihood |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published by: The text is part of a series ECARES Working Papers Number ECARES 2013-24 19 pages long |
Classification: | C63 - Computational Techniques ; C68 - Computable General Equilibrium Models ; E37 - Forecasting and Simulation |
Source: |
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Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Kollmann, Robert, (2013)
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Tractable latent state filtering for non-linear DSGE models using a second-order Approximation
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