RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Ozbek and Ozlale(2005), "Employing the extended Kalman filter in measuring the output gap," Journal of Economic Dynamics and Control, vol. 29, no. 9, pages 1611-1622. Demonstrates extended Kalman filter.

Language: RATS
Requires: RATS 8.00
Keywords: State-space models; extended Kalman filter (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/ozbekozlale_jedc_2005.zip (application/zip)

Related works:
Journal Article: Employing the extended Kalman filter in measuring the output gap (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00128

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