An Efficient Approach to Analyzing State-Space Representations
 
 
 

Download the Latest version of the paper (PDF) (Click Here)


 
 

Other Downloads


 

Pseudo-Code for all the methods (PDF) (Click Here)

 

 

Example 1: Model with frequent outliers.
Description and Code

 
Gaussian-EIS Particle Filter Description      Code
Piecewise-EIS Particle Filter Description      Code
Standard Particle Filter Description      Code
   
   

 

Example 2: A Dynamic Stochastic General Equilibrium Model
Description and Code

 
Gaussian-EIS Particle Filter Description      Code
   
   

Other codes provided on request


 

Contact Us

 
Contact Author:
D.N. DeJong,
Department of Economics,
University of Pittsburgh,
Pittsburgh, PA 15260, USA;
Telephone: 412-648-2242;
Fax: 412-648-1793;
E-mail: dejong at pitt.edu.
 

Co-Authors

 
Jean-Francois Richard - fantin at pitt.edu
Roman Liesenfeld - liesenfeld at stat-econ.uni-kiel.de
Hariharan Dharmarajan - dhh5 at pitt.edu