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

被引：5

作者：

Kollmann, Robert ^{[1
,2
]}

机构：

[1] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium

[2] Univ Paris Est, Paris, France

来源：

ECONOMICS LETTERS | 2013年 / 120卷 / 01期

关键词：

DSGE models; Kalman filter; Smoothing;

D O I：

10.1016/j.econlet.2013.03.041

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：65 / 66

页数：2

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