Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation
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Publication:1173371
DOI10.1016/0304-4076(82)90021-5zbMath0503.62097OpenAlexW2026378000MaRDI QIDQ1173371
Edwin Burmeister, Kent D. Wall
Publication date: 1982
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(82)90021-5
Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)
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A standard error for the estimated state vector of a state-space model ⋮ Ruling out speculative hyperinflations ⋮ Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading ⋮ Testing for sunspot equilibria in the German hyperinflation ⋮ IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS ⋮ Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
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- The Stability of Models of Money and Growth with Perfect Foresight
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