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Bauer, Andy
Haltom, Nicholas
Rubio-Ramirez, Juan Francisco
Year of Publication: 
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2003-32
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.
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Working Paper

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