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In this study, the estimation power of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropriate methodology to estimate both state variables and the parameters

in the Volcker-Greenspan period appears to have been much more sensitive to changes in expected in�ation than in the pre-Volcker period. We then compare some of the implications of the estimated rules for the equilibrium properties of in�ation and output, using a simple macroeconomic model, and show

Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this paper, and it is argued that taken together they make it unlikely that macroeconomic models are in fact

Los puntos de vista expresados en este documento de trabajo corresponden al autor y no reflejan necesariamente la posición del Banco Central de Reserva del Perú.

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In this paper we develop a simple analytic characterization of the steady state throughput, as a function of loss rate and round trip time for a bulk transfer TCP flow, i.e., a flow with an unlimited amount of data to send. Unlike the models in [6, 7, 10], our model captures not only the behavior

Departures from self-interest in economic experiments have recently inspired models of “social preferences”. We design a range of simple experimental games that test these theories more directly than existing experiments. Our experiments show that subjects are more concerned with increasing social

Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (Ml) demand. Ml demand is found to be stable over 1900-1989; the 95 % confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (-.13,-.08), respectively. Estimates based on the postwar data alone, however, are unstable, with variances which indicate substantial sampling uncertainty.