| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9469 |
| DP9469 Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation | |
| Robert Kollmann | |
| 发表日期 | 2013-05-12 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the ?pruning? scheme of Kim, Kim, Schaumburg and Sims (2008). By contrast to particle filters, no stochastic simulations are needed for the filter here--the present method is thus much faster. In Monte Carlo experiments, the filter here generates more accurate estimates of latent state variables than the standard particle filter. The present filter is also more accurate than a conventional Kalman filter that treats the linearized model as the true data generating process. Due to its high speed, the filter presented here is suited for the estimation of model parameters; a quasi-maximum likelihood procedure can be used for that purpose |
| 主题 | International Macroeconomics |
| 关键词 | Estimation of dsge models Kalman filter Latent state filtering Particle filter Pruning Quasi-maximum likelihood Second-order approximation |
| URL | https://cepr.org/publications/dp9469 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538304 |
| 推荐引用方式 GB/T 7714 | Robert Kollmann. DP9469 Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation. 2013. |
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