Efficient Jacobian evaluations for estimating zero lower bound term structure models

Leo Krippner

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Faster extended Kalman filter estimations of zero lower bound models of the term structure are possible if the analytic properties of the Jacobian matrix for the measurement equation are exploited. I show that such results are straighforward to incorporate, at least in Monte-Carlo-based implementations, and that will facilitate fast and robust estimations of zero lower bound term structure models with the iterated extended Kalman filter.

Keywords: Black framework; zero lower bound; shadow short rate; term structure model (search for similar items in EconPapers)
JEL-codes: C18 E43 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2013-12
New Economics Papers: this item is included in nep-ecm and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2013-77

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