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Initialization of Kalman filter for estimation
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Initialization of Kalman filter for estimation
by lionel » Sat Jun 18, 2016 10:02 pm
I guess that when estimating a stationary model, dynare uses the steady state values of the variables to initialize the Kalman filter. Is it possible to choose different initial values for the variables? Thanks!
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Re: Initialization of Kalman filter for estimation
by jpfeifer » Sun Jun 19, 2016 7:36 am
I tend to say no. What do you have in mind?
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