par Kollmann, Robert
Référence Economics letters, 120, 1, page (65-66)
Publication Publié, 2013-07
Article révisé par les pairs
Résumé : This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations. © 2013 Elsevier B.V.