Estimation of  time - variable parameters of macroeconomic model with rational expectations

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Authors	TONNER Jaromír VAŠÍČEK Osvald ŠTECHA Jan HAVLENA Vladimír
Year of publication	2007
Type	Article in Proceedings
Conference	IFAC Symposium, Computional Economics & Financial and Industrial Systems
MU Faculty or unit	Faculty of Economics and Administration
Citation
Field	Economy
Keywords	Bootstrap Filter; Time variable parameters; Rational expectation model; Hansen Real Business Cycle model
Description	The aim of this article is to identify structural changes in economy by time variable parameters estimation of Hansen Real Business Cycle model of real economy via modified Extended Bootstrap Filter Smoother. The incorporated rational expectations problem is solved by Generalized Schur Decomposition which is specially adjusted for Bootstrap filter running.
Related projects:	Monetary politics and macroeconomic stabilization: idenfication and application of general equilibrium models Research Centre for the Competitiveness of the Czech Economy