State Space Modeling for Macroeconomics with StateSpaceEcon
Nicholas L. St-Pierre, Boyan Bejanov, Atai Akunov
We will show how StateSpaceEcon can be used for state space modeling in macroeconomics in Julia. This package can solve discrete-time systems of linear and non-linear equations that contain expectations of future values of the variables. The shocks to the system can be anticipated or unanticipated. This package can also find the steady state of the system and diagnose which variables are left undetermined. In addition, we will cover the Julia package TSeries to work with discrete time series.
