Estimation of time - variable parameters of macroeconomic model with rational expectations
| Authors | |
|---|---|
| Year of publication | 2007 |
| Type | Article in Proceedings |
| Conference | IFAC Symposium, Computional Economics & Financial and Industrial Systems |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | Bootstrap Filter; Time variable parameters; Rational expectation model; Hansen Real Business Cycle model |
| Description | The aim of this article is to identify structural changes in economy by time variable parameters estimation of Hansen Real Business Cycle model of real economy via modified Extended Bootstrap Filter Smoother. The incorporated rational expectations problem is solved by Generalized Schur Decomposition which is specially adjusted for Bootstrap filter running. |
| Related projects: |