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

Employing Extended Kalman Filter in a Simple Macroeconomic Model

LEVENT ÖZBEK
Ümit ÖZLALE
Fikri ÖZTÜRK
Sayfa
53–66
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this study, the estimation povver of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model.
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Temel Bulgular & Veri: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.
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Sonuç & Katkı:The simulation results suggest that such a methodology can also be employed in explaining more complex macroeconomic dynamics.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

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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Bu Makaleye Atıf Yap

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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Kaynakça (16)

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  13. Ozbek, L and Efe, M. 2000. Online Estimation of the State and the Parameters in Compartmental Models Using Extended Kalman Filter. in the book, Nonlinear Dynamics in the Life and Social Sciences. Editors: Sulis, W.H. and Trofımova, I. pp 262:274, IOS Press.
  14. Ozbek, L and Efe, M. 2003. An Adaptive Extended Kalman Filter with Application to Compartment Models. Communication in Statistics-Simulation and Computation, forthcoming. Reif, K. and Unbehauen, R. 1999. The Extended Kalman Filter as an Exponential Observer for Nonlinear Systems. IEEE Trans. Signal Processing 47(8): 2324-2328.
  15. Reif, K., Gunther, S., Yaz, E. and Unbehauen, R. 1999. Stochastic Stability of the Discrete-Time Extended Kalman Filter. IEEE Transactions on Automatic Control 44(4): 714-728.
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