RISE Toolbox Documentation

Getting started

  • 1. Getting started

Modeling

  • 1. Hit the ground running : An introductory example
  • 2. DSGE Modeling
    • 2.1. Description
    • 2.2. An example
    • 2.3. The model(rise/dsge) file language
    • 2.4. Deriving models with rise.microfound
    • 2.5. Very large models
    • 2.6. Setting up calibration and priors outside the model file
    • 2.7. Deterministic and quasi-deterministic solutions
    • 2.8. Stochastic solution via perturbation
    • 2.9. Optimal (Ramsey) policy
    • 2.10. Optimal (optimized) simple rules
    • 2.11. Stochastic simulations
    • 2.12. Generic simulations with plans
    • 2.13. Forecasting
    • 2.14. Resimulation and counterfactuals
    • 2.15. DSGE Filtering
      • 2.15.1. Filtering and decompositions
      • 2.15.2. Linear filtration with real-time information
      • 2.15.3. Nonlinear filtering
    • 2.16. Occasionally-binding constraints
    • 2.17. Understanding a rise or dsge model object
    • 2.18. Extending the DSGE functionalities
    • 2.19. Automatic Translation of files
    • 2.20. Technical documentation for rise/dsge objects
  • 3. DSGE-VAR Modeling
  • 4. Reduced-form VAR Modeling
  • 5. Panel VAR Modeling
  • 6. Structural VAR Modeling
  • 7. Proxy (instrumental) SVAR Modeling

Estimation, data and analysis

  • 1. Bayesian Estimation
  • 2. Time Series and Data Management
  • 3. Global Sensitivity Analysis and Uncertainty Quantification
  • 4. Conditional forecasting using relative entropy
  • 5. RISE’s reporting system
  • 6. Stochastic Global Optimization
  • 7. Plotting tools

Extending RISE

  • 1. Extending RISE through paradigms

Reference and help

  • Troubleshooting
RISE Toolbox Documentation
  • 2. DSGE Modeling
  • 2.15. DSGE Filtering
  • View page source

2.15. DSGE Filtering

  • 2.15.1. Filtering and decompositions
    • Linear filtration
    • Historical Decomposition
    • Observables decomposition
    • Conditional forecasting via filtering
    • User-defined filter
  • 2.15.2. Linear filtration with real-time information
    • Data setup
    • routine
  • 2.15.3. Nonlinear filtering
    • When the nonlinear filter is used
    • Choosing the filter
    • Options
    • User-defined nonlinear filter
    • The available sigma-point filters
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