Comparison of recursive parameter estimation and non-linear
filtration

D 2012

Comparison of recursive parameter estimation and non-linear filtration

ČAPEK, Jan

Základní údaje

Originální název

Comparison of recursive parameter estimation and non-linear filtration

Autoři

ČAPEK, Jan (203 Česká republika, garant, domácí)

Vydání

1. vyd. Karviná, Proceedings of 30th International Conference Mathematical Methods in Economics, od s. 85-90, 6 s. 2012

Nakladatel

Silesian University, School of Business Administration

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/12:00060981

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7248-779-0

UT WoS

000316715900015

Klíčová slova anglicky

Unscented Particle Filter;recursive analysis;time-varying parameter;DSGE model;impulse response function

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 18. 3. 2013 10:26, doc. Ing. Jan Čapek, Ph.D.

Anotace

V originále

The contribution compares and contrasts the results of time-varying parameters estimation pursued by two methodologically different approaches, all in the context of a DSGE model. The original results Capek 2011 were obtained by the so-called recursive, rolling and ``first observation'' analysis. The novel methodology uses Unscented Particle Filter to filter trajectories of time-varying parameters. The comparisons are presented on the case of three parameters of a DSGE model, which demonstrate a match in the evolution of the parameter estimates. Recursive impulse response functions are compared on two cases, which also match. Although not all of the results obtained from two different methodologies completely match, the most important parameter changes are similarly captured by both approaches.

Přiložené soubory

capekREV.pdf

Citovat

ČAPEK, Jan. Comparison of recursive parameter estimation and non-linear filtration. In Ramík, J., Stavárek, D. Proceedings of 30th International Conference Mathematical Methods in Economics. 1. vyd. Karviná: Silesian University, School of Business Administration, 2012, s. 85-90. ISBN 978-80-7248-779-0.

@inproceedings{992904,
   author = {Čapek, Jan},
   address = {Karviná},
   booktitle = {Proceedings of 30th International Conference Mathematical Methods in Economics},
   edition = {1},
   editor = {Ramík, J., Stavárek, D.},
   keywords = {Unscented Particle Filter;recursive analysis;time-varying parameter;DSGE model;impulse response function},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Karviná},
   isbn = {978-80-7248-779-0},
   pages = {85-90},
   publisher = {Silesian University, School of Business Administration},
   title = {Comparison of recursive parameter estimation and non-linear filtration},
   year = {2012}
}

TY  - CONF
ID  - 992904
AU  - Čapek, Jan
PY  - 2012
TI  - Comparison of recursive parameter estimation and non-linear filtration
PB  - Silesian University, School of Business Administration
CY  - Karviná
SN  - 9788072487790
KW  - Unscented Particle Filter;recursive analysis;time-varying parameter;DSGE model;impulse response function
N2  - The contribution compares and contrasts the results of time-varying parameters estimation pursued by two methodologically different approaches, all in the context of a DSGE model. The original results Capek 2011 were obtained by the so-called recursive, rolling and ``first observation'' analysis. The novel methodology uses Unscented Particle Filter to filter trajectories of time-varying parameters. The comparisons are presented on the case of three parameters of a DSGE model, which demonstrate a match in the evolution of the parameter estimates. Recursive impulse response functions are compared on two cases, which also match. Although not all of the results obtained from two different methodologies completely match, the most important parameter changes are similarly captured by both approaches.
ER  -

ČAPEK, Jan. Comparison of recursive parameter estimation and non-linear filtration. In Ramík, J., Stavárek, D. \textit{Proceedings of 30th International Conference Mathematical Methods in Economics}. 1. vyd. Karviná: Silesian University, School of Business Administration, 2012, s.~85-90. ISBN~978-80-7248-779-0.

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