Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/100852 
Year of Publication: 
2003
Series/Report no.: 
Working Paper No. 2003-32
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Abstract: 
This paper shows how to use the Kalman filter (Kalman 1960) to back out the shocks of a dynamic stochastic general equilibrium model. In particular, we use the smoothing algorithm as described in Hamilton (1994) to estimate the shocks of a sticky-prices and sticky-wages model using all the information up to the end of the sample.
Document Type: 
Working Paper

Files in This Item:
File
Size
244.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.