Block Kalman filtering for large-scale DSGE models

DOI10.1007/s10614-008-9160-4zbMath1188.91175OpenAlexW2120586663WikidataQ55969199 ScholiaQ55969199MaRDI QIDQ1038766

Ingvar Strid, Karl Walentin

Publication date: 20 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2008/wp224ny.pdf

zbMATH Keywords

algorithmKalman filterBayesian estimationMatlabFortranDSGE model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

Related Items (2)

Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach ⋮ A New Derivation of the Cubature Kalman Filters

Uses Software

• Matlab

Cites Work

• Fast Filtering and Smoothing for Multivariate State Space Models
• Bayesian Analysis of DSGE Models—Some Comments

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