A Note on Kalman Filter Approach To Solution of Rational Expectations Models

Marco Sorge

No 04/2010, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

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
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Journal Article: A note on Kalman filter approach to solution of rational expectations models (2010)
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