ct_dsge/utils

This folder is part of the replication package for the paper: “Estimation of continuous-time linear DSGE models from discrete-time measurements” by B.J. Christensen, L. Neri, and J.C. Parra-Alvarez

Overview

The utils folder contains

• bootstrap_Y2.m
• configuration_settings.m
• DiscretizeSystem_wp4.m
• disc_riccati_fast.m
• display_results.m
• doub.m
• estimate_theta2.m
• EXPMcomputeIntegral.m
• Figure_smoothed_states.m
• getLL.m
• get_minimal_state_representation.m
• hessian.m
• include_measurement_error.m
• invtrans.m
• isIdentified.m
• KalmanFilter_mixed_freq.m
• KalmanFilter_mixed_freq_ABCD.m
• KalmanFilter_Smoother_MixedFreq_ABCD.m
• KalmanFilter_Smoother_mixed_freq.m
• load_calibrated_params.m
• load_empirical_data.m
• load_palette.m
• numgrad.m
• perform_ml_estimation.m
• prepareFilter_loglin.m
• qzdivct.m
• qzswitch.m
• rows.m
• save_workspace.m
• setmyfig_out1.m
• SolveRiccati.m
• table_configurations.m
• trans.m
• transform_data.m
• vec.m
• vech.m

References

For further details, please refer to the full paper:
B.J. Christensen, L. Neri, and J.C. Parra-Alvarez, “Estimation of continuous-time linear DSGE models from discrete-time measurements” (2024) Journal of Econometrics, forthcoming