Giovannini, Massimo; Pfeiffer, Philipp Ludwig; Ratto, Marco - 2021
This paper proposes a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding … constraints. This method expands the set of models suitable for nonlinear estimation. It straightforwardly handles missing data …, non-singularity (more shocks than observed time series), and large-scale models. We provide several applications to …