Bootstrap Filtering for Czech Macro-economic Model Estimation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F05%3A03108705" target="_blank" >RIV/68407700:21230/05:03108705 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Bootstrap Filtering for Czech Macro-economic Model Estimation
Original language description
Implementing direct Bayesian inference using Monte Carlo methods (Bootstrap filter) we identified Czech macro-economic model based on the work (Clarida et al. 1999). The main concern was to identify model parameters for the prediction of model behavior,which is essential for taking proper economical decisions. Simultaneous estimation of model parameters led to non-linear model. Commonly used Extended Kalman filter failed in this case, therefore we used bootstrap filter, which can handle non-linear and/or non-gaussian systems. The posterior probability density function of states and parameters were obtained from the prior probabilities (represented as a large set of samples), which were updated from measured data according to Bayesian inference. Givenonly limited data set (quarterly data from 1994) at disposal we incorporated smoothing (backward filtration) into bootstrap filter to maximize the use of information from the data.
Czech name
Bootstrapový filtr požitý pro estimaci parametrů makroekonomického modelu.
Czech description
Použití metody Monte Carlo na odhad parametrů makroekonomického modelu z dat. Vzužita metoda odhadu z celého souboru dat (tzv smoothing).
Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F05%2F2172" target="_blank" >GA402/05/2172: Monetary politics and monetary stabilization: identification and application of general equilibrium models</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2005
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
15th International Conference on Process Control 05
ISBN
80-227-2235-9
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
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Publisher name
Slovak University of Technology
Place of publication
Bratislava
Event location
Štrbské Pleso
Event date
Jun 7, 2005
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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