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  1. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: July 2024
    Publisher:  CESifo, Munich, Germany

    We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 63
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    We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the hidden states of the dynamic model. The first condition is that the state is sufficiently volatile or persistent to be recoverable. The second condition requires the possibly non-linear measurement to be sufficiently smooth and to map uniquely to the state absent measurement error. We illustrate the method through various simulation studies and an empirical application to a sudden stops model applied to Mexican data.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/302728
    Series: CESifo working papers ; 11243 (2024)
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  2. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: 19 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Freiburg
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19270
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  3. Debt taxes during crises, a blessing in disguise?
    Author: Parra-Polania, Julian A.; Vargas, Carmiña O.
    Published: [2024]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 468
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.12134/10783
    Series: Borradores de economía ; no. 1270 (2024)
    Subjects: macroprudential policies; ex post policies; debt tax; Önancial constraint;Önancial crisis; sudden stops
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  4. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: July 19, 2024
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: PIER working paper ; 24, 016
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  5. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: 19 July 2024
    Publisher:  Centre for Economic Policy Research, London

    Access:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Location:
    Universität Potsdam, Universitätsbibliothek
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    Unlimited inter-library loan, copies and loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19270
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen