Non-linear DSGE Models and The Central Difference Kalman Filter
Year of publication: |
2010-07-20
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Authors: | Andreasen, Martin M. |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Non-linear filtering | Non-Gaussian shocks | Quasi Maximum Likelihood | Stochastic volatility | Third order perturbation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 4 pages long |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; E10 - General Aggregative Models. General ; E32 - Business Fluctuations; Cycles |
Source: |
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Shephard, Neil, (2008)
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Flury, Thomas, (2008)
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Non-linear DSGE Models and The Optimized Particle Filter
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