Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation
Year of publication: |
2013-05
|
---|---|
Authors: | Kollmann, Robert |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | estimation of DSGE models | Kalman filter | Latent state filtering | particle filter | pruning | quasi-maximum likelihood | second-order approximation |
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