Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model
Abstract: This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.
File(s): File format is application/pdf http://www.frbatlanta.org/filelegacydocs/wp0332.pdf
Provider: Federal Reserve Bank of Atlanta
Part of Series: FRB Atlanta Working Paper
Publication Date: 2003