Econ226_IIIF

Econ226_IIIF - 1 III Linear state-space models A...

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Unformatted text preview: 1 III. Linear state-space models A. State-space representation of a dynamic system B. Kalman filter C. Using the Kalman filter D. Bayesian analysis of linear state-space models E. Solutions to linear rational expectations models F. Estimating DSGE models instantaneous utility function: U t a t b 1 1 " 5 c C t " hC t " 1 1 " 5 c " a t L 1 5 e e t 1 5 e h ´ habit persistence a t b > b a t " 1 b 1 t b 1 t b L i.i.d. N 0, @ b 2 ´ shock to intertemporal subs a t L > L a t " 1 L 1 t L ´ shock to intratemporal subs Let C t denote deviation of log C t from its steady-state value (1) C t h 1 h C t " 1 1 1 h E t C t 1 " 1 " h 1 h 5 c R t " E t = t 1 1 " h 1 h 5 c â t b " E t â t 1 b 2 capital evolution: K t K t " 1 1 "- ¡ 1 " S a t I I t / I t " 1 ¢ I t S . adjustment costs a t I > I a t " 1 I 1 t I (2) K t 1 "- K t " 1- Î t " 1 (3) Î t 1 1 * Î t " 1 * 1 * E t Î t 1 I 1 * Q t " * E t â t 1 I " â t I 1 * I 1/ S " Q t value of capital stock (4) Q t " R t " = t 1...
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This note was uploaded on 03/02/2012 for the course ECON 226 taught by Professor Jameshamilton during the Winter '09 term at UCSD.

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Econ226_IIIF - 1 III Linear state-space models A...

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