Block Kalman Filtering for Large-Scale DSGE Models

  title={Block Kalman Filtering for Large-Scale DSGE Models},
  author={I. Strid and Karl Walentin},
  journal={Computational Economics},
  • I. Strid, Karl Walentin
  • Published 2009
  • Computer Science
  • Computational Economics
  • 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… CONTINUE READING
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