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The discretization filter: A simple way to estimate nonlinear state space models - MaRDI portal

The discretization filter: A simple way to estimate nonlinear state space models

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Publication:5164473

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DOI10.3982/QE1353zbMath1477.62367OpenAlexW3121812490MaRDI QIDQ5164473

Leland E. Farmer

Publication date: 11 November 2021

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

Full work available at URL: https://doi.org/10.3982/qe1353

zbMATH Keywords

discretization regime switching nonlinear filtering state space models DSGE models zero lower bound

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Markov processes: hypothesis testing (62M02)

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