Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/302728 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11243
Publisher: 
CESifo GmbH, Munich
Abstract: 
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the hidden states of the dynamic model. The first condition is that the state is sufficiently volatile or persistent to be recoverable. The second condition requires the possibly non-linear measurement to be sufficiently smooth and to map uniquely to the state absent measurement error. We illustrate the method through various simulation studies and an empirical application to a sudden stops model applied to Mexican data.
Subjects: 
filtering
limited information
non-linear model
dynamic equilibrium model
sudden stops
JEL: 
C32
C53
E37
E44
O11
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





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