Dear all:
I built a very simple DSGE model with 3 equation ,and transform the model to a LRE model . I solve the LRE model with BK method and then I got a state space model just as x(t)=A*x(t-1)+B*z(t). I want to do the bayesian estimate . However as I know , before the bayesian estimate, we must get the maximum likelihood function of the state-space. My question is that how can I get the maximum likelihood function of the state-space by using the kalman fliter? Can I find the code in dynare?
I know dynare can do it with just a command and I want to know more details about it .thank you .
Dynare forums
Forums for asking questions, posting comments and uploading examples related to Dynare
how to deal with a state-space model with kalman fliter
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
2 posts
• Page 1 of 1
how to deal with a state-space model with kalman fliter
by ahuca2008 » Mon Jun 13, 2016 5:23 am
- ahuca2008
- Posts: 11
- Joined: Thu Apr 18, 2013 8:50 am
Re: how to deal with a state-space model with kalman fliter
by jpfeifer » Fri Jun 17, 2016 5:40 pm
If you want to program Bayesian estimation from scratch, using Dynare's routines for this is not ideal. Have a look at Schmitt-Grohé/Uribe's codes for "What's news in business cycles".
- jpfeifer
- Posts: 6940
- Joined: Sun Feb 21, 2010 4:02 pm
- Location: Cologne, Germany
2 posts
• Page 1 of 1
Who is online
Users browsing this forum: No registered users and 9 guests