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Journals / Central Bank Review / 2003 / Cilt: 3 - Sayı: 1

Employing Extended Kalman Filter in a Simple Macroeconomic Model

LEVENT ÖZBEK
Ümit ÖZLALE
Fikri ÖZTÜRK
Pages
53–66
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the estimation povver of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model.
📊
Key Findings & Data:After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropnate methodology to estimate both state variables and the parameters.
💡
Conclusion & Impact:The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

In this study, the estimation povver of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropnate methodology to estimate both state variables and the parameters. The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.

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Cite This Article

ÖZBEK, L., ÖZLALE, Ü., ÖZTÜRK, F. (2003). Employing Extended Kalman Filter in a Simple Macroeconomic Model. Central Bank Review, Cilt: 3 - Sayı: 1, 53–66. https://ajindex.com/articles/153124

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