Abstract
This work describes and analyses the Extended Kalman Filter with regard to an equation that relates the dynamic of the expected real interest rates and inflation. An estimation of the ex ante inflation for a preestablished data set is carried out. This is compared with the same calculation using a moving horizon estimation method for situations that are non lineal due to parametric uncertainties of the model. From the application of these methods to real data, it can be concluded that the estimations based on the moving horizon method, combined with a heuristic optimization algorithm, yield better results.
Highlights
This work describes and analyses the Extended Kalman Filter with regard to an equation that relates the dynamic of the expected real interest rates and inflation
An estimation of the ex ante inflation for a preestablished data set is carried out. This is compared with the same calculation using a moving horizon estimation method for situations that are non lineal due to parametric uncertainties of the model
From the application of these methods to real data, it can be concluded that the estimations based on the moving horizon method, combined with a heuristic optimization algorithm, yield better results
Summary
Recibido 20 de febrero de 2008, aceptado 22 de julio de 2009 Received: February 20, 2008 Accepted: July 22, 2009. En este trabajo se describe y analiza, luego de tener la ecuación que relaciona la dinámica de las expectativas de la tasa de interés real y de la inflación, el filtro extendido de Kalman. Se realiza la estimación de la inflación ex ante para una serie de datos preestablecida. Se efectúa una comparación con el método de estimación de horizonte móvil utilizado en situaciones cuando producto de las incertidumbres paramétricas del modelo éste se torna no lineal. La aplicación de estos métodos a datos reales permite concluir que las estimaciones efectuadas a través del método de horizonte móvil, combinado a un algoritmo heurístico de optimización logran los mejores resultados. Palabras clave: Filtrado de Kalman, método MHSE, inflación, modelos econométricos
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