Kalman filter approach to solution of rational expectations models

DOI10.1016/0898-1221(93)90184-WzbMath0780.90015OpenAlexW2045688953MaRDI QIDQ2366664

Alberto De Santis, Caterina Scoglio, Alfredo Germani

Publication date: 1 September 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(93)90184-w

zbMATH Keywords

Kalman filteringasymptotically stationary processeconomical systemsfinite steady-state covarianceforward looking dynamical models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Economic growth models (91B62) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Stackelberg solution for a two-agent rational expectations model ⋮ A ``nearly ideal solution to linear time-varying rational expectations models

Cites Work

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• The solution of dynamic linear rational expectations models
• Fast projection methods for minimal design problems in linear system theory
• Extensions of linearization to large econometric models with rational expectations
• Some thoughts on rational expectations models, and alternate formulations
• The Solution of Linear Difference Models under Rational Expectations
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

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