Block Kalman Filtering for Large-Scale DSGE Models
نویسندگان
چکیده
منابع مشابه
Block Kalman ltering for large-scale DSGE models
In this paper block Kalman lters for Dynamic Stochastic General Equilibrium models are presented and evaluated. Our approach is based on the simple idea of writing down the Kalman lter recursions on block form and appropriately sequencing the operations of the prediction step of the algorithm. It is argued that block ltering is the only viable serial algorithmic approach to signi cantly redu...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2008
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-008-9160-4