Estimating the state vector of linearized DSGE models without the Kalman filter

Robert Kollmann ()

Economics Letters, 2013, vol. 120, issue 1, 65-66

Abstract: This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations.

Keywords: DSGE models; Kalman filter; Smoothing (search for similar items in EconPapers)
JEL-codes: C32 C68 E37 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Working Paper: Estimating the State Vector of Linearized DSGE Models without the Kalman Filter (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:1:p:65-66

DOI: 10.1016/j.econlet.2013.03.041

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