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@inproceedings{580961,
author = {Vašíček, Osvald and Fitzová, Hana},
address = {Hradec Králové},
booktitle = {Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005},
keywords = {weighted Bootstrap algorithm; monetary policy model; conditional probality density functions; impulse responses rational expectations},
language = {eng},
location = {Hradec Králové},
isbn = {80-7041-535-5},
pages = {315-320},
publisher = {Nakladatelství Gaudeamus Univerzity Hradec Králové},
title = {Application of the Bootstrap Filter Method on a Small Economy Model},
year = {2005}
}
TY - JOUR
ID - 580961
AU - Vašíček, Osvald - Fitzová, Hana
PY - 2005
TI - Application of the Bootstrap Filter Method on a Small Economy Model
PB - Nakladatelství Gaudeamus Univerzity Hradec Králové
CY - Hradec Králové
SN - 8070415355
KW - weighted Bootstrap algorithm
KW - monetary policy model
KW - conditional probality density functions
KW - impulse responses rational expectations
N2 - The paper shows the monetary policy problem in a simple framework and it illustrates the behaviour of the model on the Czech economy data. Model parameters are estimated by the weighted Bootstrap algorithm which represents an important alternative approach to model estimation. Its power lies in its generality because it is usable for non-local systems. It is especially important in the case that classical methods like extended Kalman filter diverge or are not applicable; or when only the lack of data is available (which is the case of the Czech Republic). Conditional probability density functions of the parameters and states are analyzed.
ER -
VAŠÍČEK, Osvald a Hana FITZOVÁ. Application of the Bootstrap Filter Method on a Small Economy Model. In \textit{Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005}. Hradec Králové: Nakladatelství Gaudeamus Univerzity Hradec Králové, 2005, s.~315-320. ISBN~80-7041-535-5.
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