Filtering with Limited Information
Thorsten Drautzburg,
Jesus Fernandez-Villaverde,
Pablo Guerrón-Quintana and
Dick Oosthuizen
No 11243, CESifo Working Paper Series from CESifo
Abstract:
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the hidden states of the dynamic model. The first condition is that the state is sufficiently volatile or persistent to be recoverable. The second condition requires the possibly non-linear measurement to be sufficiently smooth and to map uniquely to the state absent measurement error. We illustrate the method through various simulation studies and an empirical application to a sudden stops model applied to Mexican data.
Keywords: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops (search for similar items in EconPapers)
JEL-codes: C32 C53 E37 E44 O11 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-dge
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp11243.pdf (application/pdf)
Related works:
Working Paper: Filtering with Limited Information (2024)
Working Paper: Filtering with Limited Information (2024)
Working Paper: Filtering with Limited Information (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_11243
Access Statistics for this paper
More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe (wohlrabe@ifo.de).