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Using the Kalman Filter to Smooth the Shocks of a Dynamic Stochastic General Equilibrium Model

Bauer, Andy - 2015

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...

Persistent link: https://www.econbiz.de/10013032852

Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models

Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10012222592

A note on particle filters applied to DSGE models

Fasolo, Angelo Marsiglia - 2012

Persistent link: https://www.econbiz.de/10009573931

Solving and estimating linearized DSGE models with VARMA shock processes and filtered data

Meyer-Gohde, Alexander; Neuhoff, Daniel - In: Economics letters 133 (2015), pp. 89-91

Persistent link: https://www.econbiz.de/10011432004

State space models with endogenous regime switching

Chang, Yoosoon; Tan, Fei; Wei, Xin - 2018 - This version: November 29, 2018

Persistent link: https://www.econbiz.de/10012223866

Bayesian inference for nonlinear structural time series models

Hall, Jamie; Pitt, Michael K.; Kohn, Robert - In: Journal of econometrics 179 (2014) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10010372659

Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARS

Bekiros, Stelios D.; Paccagnini, Alessia - In: Macroeconomic dynamics 19 (2015) 7, pp. 1565-1592

Persistent link: https://www.econbiz.de/10011515386

DSGE model with financial frictions over subsets of business cycle frequencies

Gallegati, Marco; Giri, Federico; Palestrini, Antonio - In: Journal of economic dynamics & control 100 (2019), pp. 152-163

Persistent link: https://www.econbiz.de/10012130956

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

Kollmann, Robert - In: Economics letters 120 (2013) 1, pp. 65-66

Persistent link: https://www.econbiz.de/10009760472

Tractable latent state filtering for non-linear DSGE models using a second-order approximation and pruning

Kollmann, Robert - In: Computational economics 45 (2015) 2, pp. 239-260

Persistent link: https://www.econbiz.de/10011325720

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