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EnglishThe solution of forward looking dynamical models for economical systems consists in finding a suitable expression of the forcing term describing the agents expectations on the future behaviour of the involved economical variables. In this paper, such a control function is estimated by a Kalman filtering technique which allows us to exploit just the current informations. The solution obtained is shown to be an asymptotically stationary process with finite steady-state covariance.
http://hdl.handle.net/11697/18025| Titolo: | KALMAN FILTER APPROACH TO SOLUTION OF RATIONAL-EXPECTATIONS MODELS |
| Autori interni: | GERMANI, Alfredo |
| Data di pubblicazione: | 1993 |
| Rivista: | COMPUTERS & MATHEMATICS WITH APPLICATIONS |
| Abstract: | The solution of forward looking dynamical models for economical systems consists in finding a suitable expression of the forcing term describing the agents expectations on the future behaviour of the involved economical variables. In this paper, such a control function is estimated by a Kalman filtering technique which allows us to exploit just the current informations. The solution obtained is shown to be an asymptotically stationary process with finite steady-state covariance. |
| Handle: | http://hdl.handle.net/11697/18025 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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