Una nota metodológica acerca de aplicaciones del filtro de Kalman a las calibraciones en modelos de ciclo real

Jesus Ruiz

Investigaciones Economicas, 2002, vol. 26, issue 1, 35-57

Abstract: This paper pursues two objectives. One is to generalize the Kalman Filter to dynamic models with rational expectations which include current expectations of future endogenous variables. A second objective is to ilustrate two applications of this estimation procedure to stochastic rational expectations growth models. The first application is a proposal to calibrate some parameters in these models whose estimation is difficult because of the lack of appropriate data (for example, the coefficient of relative risk aversion). In the second application, the previous calibration procedure is used to offer an objective measure which allows for discriminating among alternative models that have, in some aspects, a similar stochastic behaviour. (Copyright: Fundación Empresa Pública)

Keywords: Kalman filter; calibration; real business cycle models; rational expectations; dynamic systems (search for similar items in EconPapers)
JEL-codes: C51 C52 C61 E32 (search for similar items in EconPapers)
Date: 2002
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