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Regular version of the site

Article

DSGE Model Estimation on the Basis of Second-Order Approximation

Computational Economics. 2014. Vol. 43. No. 1. P. 71-82.
Ivashchenko S.

This article compares the properties of different non-linear Kalman filters: the well-known Unscented Kalman filter (UKF), the Central Difference Kalman Filter (CDKF) and an unknown Quadratic Kalman filter (QKF). A small financial DSGE model is repeatedly estimated by several quasilikelihood methods with different filters for data generated by the model. Errors in parameters estimation are a measure of the filters’ quality. The result shows that the QKF has a reasonable advantage in terms of quality over the CDKF and the UKF, albeit with some loss in speed.