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    The endogenous Kalman Filter

    Baxter, Brad and Graham, L. and Wright, Stephen (2007) The endogenous Kalman Filter. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We relax the assumption of full information that underlies most dynamic general equilibrium models, and instead assume agents optimally form estimates of the states from an incomplete information set. We derive a version of the Kalman filter that is endogenous to agents' optimising decisions, and state conditions for its convergence. We show the (restrictive) conditions under which the endogenous Kalman filter will at least asymptotically reveal the true states. In general we show that incomplete information can have significant implications for the time-series properties of economies. We provide a Matlab toolkit which allows the easy implementation of models with incomplete information.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0719
    Keyword(s) / Subject(s): Dynamic general equilibrium, Kalman Ölter, imperfect information, signal extraction
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 26 Mar 2019 14:53
    Last Modified: 30 Jul 2019 06:19
    URI: http://eprints.bbk.ac.uk/id/eprint/26893

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