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:	2015
Authors:	Bauer, Andy
Other Persons:	Haltom, Nicholas (contributor) ; Rubio-Ramirez, Juan Francisco (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Schock \| Shock \| Zustandsraummodell \| State space model \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Zeitreihenanalyse \| Time series analysis \| DSGE-Modell \| DSGE model

Extent:	1 Online-Ressource (16 p)
Series:	FRB Atlanta Working Paper ; No. 2003-32
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2003 erstellt
Other identifiers:	10.2139/ssrn.2482506 [DOI]
Classification:	C63 - Computational Techniques ; C68 - Computable General Equilibrium Models ; E37 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013032852