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| Marco Maria Sorge |
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| ''A note on Kalman filter approach to solution of rational expectations models'' |
| ( 2010, Vol. 30 No.3 ) |
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| In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required. |
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| Keywords: Nonlinear dynamic systems, Rational Expectations, Extended Kalman Filter |
JEL: C5 - Econometric Modeling: General
C6 - Mathematical Methods and Programming: General |
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| Manuscript Received : Mar 08 2010 | | Manuscript Accepted : Jul 30 2010 |
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