Ozbek, Levent; Ozlale, Umit; Ozturk, Fikri - In: Central Bank Review 3 (2003) 1, pp. 53-65
In this study, the estimation power of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropriate methodology to estimate both state variables and the parameters....