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

Investor logo

Warning

This publication doesn't include Faculty of Sports Studies. It includes Faculty of Economics and Administration. Official publication website can be found on muni.cz.
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:

You are running an old browser version. We recommend updating your browser to its latest version.

More info