About: States Estimation in Baseline New Keynesian DSGE Model: Kalman or Bootstrap Filter?     Goto   Sponge   NotDistinct   Permalink

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  • The aim of this article is to compare the ability of estimation and filtering methods. Under assumptions of normality and linear structure, Kalman filter seems to be more accurate in comparison with Bootstrap filter that cooperates with empirical distributions. But we can show that 'chances' are approximately similar if we set for Bootstrap filter the same variances of structural shocks as we obtain from Kalman smoothed structural shocks. A construction of Kalman filter enables to flexibly change estimated covariance matrix of observation vector estimation error during filtering and smoothing procedure. But this 'advantage' is not implemented in Bootstrap filter since the bootstrap filter measurement error variances and structural shocks variances must be constant during filtering and smoothing procedure. The results will be shown on the DSGE baseline new Keynesian model of Czech economy. The model will be filtered and smoothed by above mentioned filters and a comparison study will be carried out.
  • The aim of this article is to compare the ability of estimation and filtering methods. Under assumptions of normality and linear structure, Kalman filter seems to be more accurate in comparison with Bootstrap filter that cooperates with empirical distributions. But we can show that 'chances' are approximately similar if we set for Bootstrap filter the same variances of structural shocks as we obtain from Kalman smoothed structural shocks. A construction of Kalman filter enables to flexibly change estimated covariance matrix of observation vector estimation error during filtering and smoothing procedure. But this 'advantage' is not implemented in Bootstrap filter since the bootstrap filter measurement error variances and structural shocks variances must be constant during filtering and smoothing procedure. The results will be shown on the DSGE baseline new Keynesian model of Czech economy. The model will be filtered and smoothed by above mentioned filters and a comparison study will be carried out. (en)
Title
  • States Estimation in Baseline New Keynesian DSGE Model: Kalman or Bootstrap Filter?
  • States Estimation in Baseline New Keynesian DSGE Model: Kalman or Bootstrap Filter? (en)
skos:prefLabel
  • States Estimation in Baseline New Keynesian DSGE Model: Kalman or Bootstrap Filter?
  • States Estimation in Baseline New Keynesian DSGE Model: Kalman or Bootstrap Filter? (en)
skos:notation
  • RIV/00216224:14560/08:00026575!RIV10-MSM-14560___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(1M0524)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 397254
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/08:00026575
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • DSGE model; Kalman filter; Bootstrap filter (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [D3A188E26476]
http://linked.open...v/mistoKonaniAkce
  • Liberec
http://linked.open...i/riv/mistoVydani
  • Liberec
http://linked.open...i/riv/nazevZdroje
  • Mathematical Methods in Economics 2008
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tonner, Jaromír
  • Vašíček, Osvald
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000260962300060
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Technická univerzita v Liberci
https://schema.org/isbn
  • 978-80-7372-387-3
http://localhost/t...ganizacniJednotka
  • 14560
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