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Title:A note on Kalman filter approach to solution of rational expectations models PDF Logo
Authors:Sorge, Marco M.
Issue Date:2010
Series/Report no.:Bonn econ discussion papers 2010,4
Abstract:In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required.
Subjects:Nonlinear dynamic systems
Rational Expectations
Extended Kalman Filter
JEL:C5
C6
Document Type:Working Paper
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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