| TONNER, Jaromír, Osvald VAŠÍČEK, Jan ŠTECHA a Vladimír HAVLENA. Estimation of time - variable parameters of macroeconomic model with rational expectations. In IFAC Symposium, Computional Economics & Financial and Industrial Systems. Istanbul, Turkey: Dogus University of Istanbul, Turkey, 2007, s. 201-206. |
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@inproceedings{727987,
author = {Tonner, Jaromír and Vašíček, Osvald and Štecha, Jan and Havlena, Vladimír},
address = {Istanbul, Turkey},
booktitle = {IFAC Symposium, Computional Economics & Financial and Industrial Systems},
keywords = {Bootstrap Filter; Time variable parameters; Rational expectation model; Hansen Real Business Cycle model},
language = {eng},
location = {Istanbul, Turkey},
pages = {201-206},
publisher = {Dogus University of Istanbul, Turkey},
title = {Estimation of time - variable parameters of macroeconomic model with rational expectations},
year = {2007}
}
TY - JOUR
ID - 727987
AU - Tonner, Jaromír - Vašíček, Osvald - Štecha, Jan - Havlena, Vladimír
PY - 2007
TI - Estimation of time - variable parameters of macroeconomic model with rational expectations
PB - Dogus University of Istanbul, Turkey
CY - Istanbul, Turkey
KW - Bootstrap Filter
KW - Time variable parameters
KW - Rational expectation model
KW - Hansen Real Business Cycle model
N2 - 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.
ER -
TONNER, Jaromír, Osvald VAŠÍČEK, Jan ŠTECHA a Vladimír HAVLENA. Estimation of time - variable parameters of macroeconomic model with rational expectations. In \textit{IFAC Symposium, Computional Economics \&{} Financial and Industrial Systems}. Istanbul, Turkey: Dogus University of Istanbul, Turkey, 2007, s.~201-206.
|
