Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
| Authors | |
|---|---|
| Year of publication | 2003 |
| Type | Article in Proceedings |
| Conference | INTERNATIONAL CARPATHIAN CONTROL CONFERENCE-ICCC 2003 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | Iterative Extended Kalman filter; Potential Product; Non-Accelerating Inflation Rate of Uneymployment |
| Description | The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic properties. The above-mentioned application is an example how Iterative Kalman filter Smoother is employed to identify unobserved states and time-varying parameters of macroeconomic models simultaneously. |
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