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Employing Extended Kalman Filter in a Simple Macroeconomic Model

By Levent Özbek, Ümit Özlale and Fikri Öztürk

Abstract

In this study, the estimation power 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 appropriate 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

Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.313.7276
Provided by: CiteSeerX
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