Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model
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.
Cite this item
Andrew Bauer & Nicholas Haltom & Juan F. Rubio-Ramirez, Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2003-32, 2003.
This item with handle RePEc:fip:fedawp:2003-32
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