Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model

This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.

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Year of publication:	2003
Authors:	Bauer, Andy ; Haltom, Nicholas ; Rubio-Ramirez, Juan Francisco
Publisher:	Atlanta, GA : Federal Reserve Bank of Atlanta

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Series:	Working Paper ; 2003-32
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/100852 [Handle] RePEc:fip:fedawp:2003-32 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010397523