Publication details

Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables

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Authors

VAŠÍČEK Osvald DAVID Stanislav

Year of publication 2003
Type Article in Proceedings
Conference INTERNATIONAL CARPATHIAN CONTROL CONFERENCE-ICCC 2003
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords Iterative Extended Kalman filter; Potential Product; Non-Accelerating Inflation Rate of Uneymployment
Description The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic properties. The above-mentioned application is an example how Iterative Kalman filter Smoother is employed to identify unobserved states and time-varying parameters of macroeconomic models simultaneously.
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