Estimation of continuous-time linear DSGE models from discrete-time measurements
Year of publication: |
[2023]
|
---|---|
Authors: | Christensen, Bent Jesper ; Neri, Luca ; Parra-Alvarez, Juan Carlos |
Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
Subject: | DSGE models | continuous time | exact discrete-time representation | stock and flow variables | Kalman filter | maximum likelihood | aliasing | structural shocks | Dynamisches Gleichgewicht | Dynamic equilibrium | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Schock | Shock | DSGE-Modell | DSGE model | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
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