Kalman Filter Learning

[asprilqjs]

I am reading a paper titled “Imperfect Credibility and Inflation Persistence,” which mentions that agents’ inflation expectations are learned using a mechanism based on the Kalman filter. Are there examples implementing such a setup?Located in Section 3.3.
Imperfect Credibility and Inflation Persistence.pdf (275.6 KB)

[jpfeifer]

No, I haven’t encountered examples in a long time. The closest may be

Slobodyan wouters 2012

T_AR2_no4.mod (7.2 KB) Hello all, I’m trying to replicate Slobodyan Wouters 2012. The .mod file allows for estimation of a DSGE model with kalman-filter learning. However, I am trying to implement the setup with constant gain least-squares learning. I understand that this requires the user to change the kalman_algo option from 603 to 203, and to include the gain and ro parameter in the params and estimation block. Despite that, I get constant error messages when trying to execute this model.