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.
KALMAN FILTER APPROACH TO SOLUTION OF RATIONAL-EXPECTATIONS MODELS
GERMANI, Alfredo;
1993-01-01
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.File in questo prodotto:
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