Matlab code for robust Muth decision filter

Lars Hansen and Thomas Sargent

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: Computes robust Muth decision filter for the problem with state space representation Solves the robust filtering problem for the state space system x' = A x + B u + D w, y = C x + E w, z = H x + G u.

Language: Matlab
Date: 1995
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https://dge.repec.org/codes/sargent/rmuth/ program code (application/x-matlab)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:34

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