Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation

DOI10.1016/0304-4076(82)90021-5MaRDI QIDQ1173371zbMATH OpenOpenAlexFDO

Authors Edwin Burmeister, Kent D. Wall

Publication date 1982

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(82)90021-5

zbMATH Keywords

convergent pathGerman hyperinflationKalman filtering estimation of unobserved rational expectations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82) Filtering in stochastic control theory (93E11)

Cites work

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Cited in

(7)

• Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model
• A standard error for the estimated state vector of a state-space model
• Testing for sunspot equilibria in the German hyperinflation
• Ruling out speculative hyperinflations
• Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS

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