Ivashchenko, Sergey - In: Computational Economics 43 (2014) 1, pp. 71-82
This article compares the properties of different non-linear Kalman filters: the well-known Unscented Kalman filter (UKF), the central difference Kalman filter (CDKF) and the new Quadratic Kalman filter (QKF). A small financial DSGE model is repeatedly estimated by several quasi-likelihood...