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Employing Extended Kalman Filter in a Simple Macroeconomic Model

Levent Ozbek, Umit Ozlale and Fikri Ozturk

Central Bank Review, 2003, vol. 3, issue 1, 53-65

Abstract: In this study, the estimation power of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropriate methodology to estimate both state variables and the parameters. The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.

Keywords: Extended; Kalman; Filter (search for similar items in EconPapers)
JEL-codes: C15 C16 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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