About: Bootstrap Filtering for Czech Macro-economic Model Estimation

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Použití metody Monte Carlo na odhad parametrů makroekonomického modelu z dat. Vzužita metoda odhadu z celého souboru dat (tzv smoothing). (cs) Implementing direct Bayesian inference using Monte Carlo methods (Bootstrap filter) we identified Czech macro-economic model based on the work (Clarida et al. 1999). The main concern was to identify model parameters for the prediction of model behavior, which is essential for taking proper economical decisions. Simultaneous estimation of model parameters led to non-linear model. Commonly used Extended Kalman filter failed in this case, therefore we used bootstrap filter, which can handle non-linear and/or non-gaussian systems. The posterior probability density function of states and parameters were obtained from the prior probabilities (represented as a large set of samples), which were updated from measured data according to Bayesian inference. Given only limited data set (quarterly data from 1994) at disposal we incorporated smoothing (backward filtration) into bootstrap filter to maximize the use of information from the data. Implementing direct Bayesian inference using Monte Carlo methods (Bootstrap filter) we identified Czech macro-economic model based on the work (Clarida et al. 1999). The main concern was to identify model parameters for the prediction of model behavior, which is essential for taking proper economical decisions. Simultaneous estimation of model parameters led to non-linear model. Commonly used Extended Kalman filter failed in this case, therefore we used bootstrap filter, which can handle non-linear and/or non-gaussian systems. The posterior probability density function of states and parameters were obtained from the prior probabilities (represented as a large set of samples), which were updated from measured data according to Bayesian inference. Given only limited data set (quarterly data from 1994) at disposal we incorporated smoothing (backward filtration) into bootstrap filter to maximize the use of information from the data. (en)
Title	Bootstrap Filtering for Czech Macro-economic Model Estimation Bootstrap Filtering for Czech Macro-economic Model Estimation (en) Bootstrapový filtr požitý pro estimaci parametrů makroekonomického modelu. (cs)
skos:prefLabel	Bootstrap Filtering for Czech Macro-economic Model Estimation Bootstrap Filtering for Czech Macro-economic Model Estimation (en) Bootstrapový filtr požitý pro estimaci parametrů makroekonomického modelu. (cs)
skos:notation	RIV/68407700:21230/05:03108705!RIV08-GA0-21230___
http://linked.open.../vavai/riv/strany	Nečíslováno
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/05/2172)
http://linked.open...vai/riv/dodaniDat	2008
http://linked.open...aciTvurceVysledku	Havlena, Vladimír Štecha, Jan Trnka, Pavel
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta elektrotechnická
http://linked.open...dnocenehoVysledku	514102
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/05:03108705
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Bayesian state estimation; Bootstrap filter; Economic modeling; Monte Carlo methods; Smoothing (en)
http://linked.open.../riv/klicoveSlovo	Monte Carlo methods Bootstrap filter Economic modeling Bayesian state estimation Smoothing
http://linked.open...ontrolniKodProRIV	[1F1CED483FDF]
http://linked.open...v/mistoKonaniAkce	Štrbské Pleso
http://linked.open...i/riv/mistoVydani	Bratislava
http://linked.open...i/riv/nazevZdroje	15th International Conference on Process Control 05
http://linked.open...in/vavai/riv/obor	BC
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Monetary politics and monetary stabilization: identification and application of general equilibrium models
http://linked.open...UplatneniVysledku	2005
http://linked.open...iv/tvurceVysledku	Havlena, Vladimír Trnka, Pavel Štecha, Jan
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2005-06-07 (xsd:date)
number of pages	5 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slovenská technická univerzita v Bratislave
https://schema.org/isbn	80-227-2235-9
http://localhost/t...ganizacniJednotka	21230

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