computationally efficient filtering algorithm to estimate the non-linear model. Calculations are greatly simplified by appropriate … augmentation of the transition equation and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to …

times. The extended path algorithm is a commonly used and fairly general method for solving dynamic nonlinear models with … rational expectations. This algorithm can be used for a wide range of cases, including for models with occasionally binding … computational improvements to the algorithm that speed up the calculations via vectorisations of the Jacobian matrix and residual …

computationally efficient filtering algorithm to estimate the nonlinear model. The algorithm is shown to be accurate in approximating …