Hi Houtan,
We do not plan to implement the EM algorithm... As far as I know, we don't need it for the Estimation of DSGE models. We do also estimate matrices F, H and Q, but in our case we have a large number of restrictions (given by the rational expectation model) on these matrices which help al lot for the estimation.
Best, Stéphane.
Houtan Bastani houtanb@gmail.com writes:
Perhaps you can help Pablo....
Begin forwarded message:
From: Pablo Cruz D. pcruz@bcentral.cl Subject: RE: kalman filter Date: 26 January 2012 7:50:15 AM GMT-05:00 To: Houtan Bastani houtanb@gmail.com
Thanks Houtan, I have just looked at the code but I guess this is not exactly what I'm looking for. What I want to do is to estimate the KF when matrix F, H, and Q are unknown, so I need a code that also estimates the EM algorithm for the KF. This is for an elaboration of a Dynamic Factor Model. If you have something like that will be of great help.
Best Regards, Pablo
-----Mensaje original----- De: Houtan Bastani [mailto:houtanb@gmail.com] Enviado el: martes, 24 de enero de 2012 12:52 Para: Pablo Cruz D. Asunto: kalman filter
Hey Pablo,
There's a kalman filter in the Dynare source distribution under the matlab/kalman/likelihood folder. You can download it here: http://www.dynare.org/snapshot/source/
Otherwise, here are the filters I programmed with my old boss a while ago...
Best, Houtan
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