Browsing IEI_Articles by Keyword "Kalman filter"
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Disentangling permanent and transitory monetary shocks with a nonlinear Taylor rule
De Gruyter (2021)This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation ... -
Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle
Springer (2019)In this paper, we develop a very flexible and comprehensive state-space framework for modeling time series data. Our research extends the simple canonical model usually employed in the literature, into a panel-data ...