Block Kalman Filtering for Large-Scale DSGE Models

@article{Strid2009BlockKF,
  title={Block Kalman Filtering for Large-Scale DSGE Models},
  author={Ingvar Strid and Karl Walentin},
  journal={Computational Economics},
  year={2009},
  volume={33},
  pages={277-304}
}
In this paper block Kalman filters for Dynamic Stochastic General Equilibrium models are presented and evaluated. Our approach is based on the simple idea of writing down the Kalman filter recursions on block form and appropriately sequencing the operations of the prediction step of the algorithm. It is argued that block filtering is the only viable serial algorithmic approach to significantly reduce Kalman filtering time in the context of large DSGE models. For the largest model we evaluate… 
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