Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249365 
Year of Publication: 
2021
Series/Report no.: 
JRC Working Papers in Economics and Finance No. 2021/3
Publisher: 
European Commission, Ispra
Abstract: 
This paper proposes a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding constraints. This method expands the set of models suitable for nonlinear estimation. It straightforwardly handles missing data, non-singularity (more shocks than observed time series), and large-scale models. We provide several applications to highlight its efficiency and robustness compared to existing methods. Our toolkit integrates the PKF into Dynare, the most popular software in DSGE modeling.
Subjects: 
DSGE
occasionally binding constraints
nonlinear estimation
Piecewise Kalman Filter
JEL: 
C11
C32
C51
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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