Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model

Andrew Bauer, Nicholas Haltom and Juan F Rubio-Ramirez

No 2003-32, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.

Date: 2003
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm, nep-ets and nep-mac
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