MÉTODOS DE ESTIMACIÓN NO LINEAL APLICADOS AL PROBLEMA DE EXPECTATIVAS DE INFLACIÓN/NONLINEAR ESTIMATION METHODS APPLIED TO A PROBLEM OF EXPECTED INFLATION

This work describes and analyses the Extended Kaiman Filler 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 some calculation using a m...

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Bibliographic Details
Published in:Ingeniare : Revista Chilena de Ingenieria 2009-12, Vol.17 (3), p.404-411
Main Authors: Arriagada-Benítez, Mauricio, Valdés-González, Héctor, Pedraja-Rejas, Liliana
Format: Article
Language:eng ; spa
Subjects:
econometric models
Econometrics
Economic models
Filtrado de Kalman
inflación
Inflation
Interest rates
Kalman Filter
MHSE method
modelos econométricos
método MHSE
Optimization algorithms
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Summary:This work describes and analyses the Extended Kaiman Filler 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 some calculation using a moving horizon estimation method for situations that are non lineal due Io 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. [PUBLICATION ABSTRACT]
ISSN:0718-3291
0718-3305