Time - variant Parameter Estimation by Bootstrap Filter

• Authors: TONNER Jaromír; VAŠÍČEK Osvald
• Year of publication: 2007
• Type: Article in Proceedings
• Conference: Mathematical Methods in Economics 2007
• MU Faculty or unit: Faculty of Economics and Administration
• Field: Economy
• Keywords: Time-variant parameter estimation; Bootstrap filter; DSGE model; Linear rational expectations model
• Description: The analysis of time - variant parameter estimation by Bootstrap filter is presented in the contribution. Our motivation is to reliably identify substantial structural changes in economy via parameters changes. The results are shown on examples as well as on the real economic model.

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