A note on Kalman filter approach to solution of rational expectations models

Marco Sorge

Economics Bulletin, 2010, vol. 30, issue 3, 2002-2009

Abstract: In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required.

Keywords: Nonlinear dynamic systems; Rational Expectations; Extended Kalman Filter (search for similar items in EconPapers)
JEL-codes: C5 C6 (search for similar items in EconPapers)
Date: 2010-07-30
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Working Paper: A Note on Kalman Filter Approach To Solution of Rational Expectations Models (2010)
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