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Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach

This work presents a novel approach for estimating the Solow-Cobb-Douglas economic growth model. In this case, an Extended Kalman Filter is used for estimating, at the same time, the time-varying parameters of the model and the system state, from subsets of partially available economic data measurem...

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Detalles Bibliográficos
Autores principales: Munguía, Rodrigo, Davalos, Jessica, Urzua, Sarquis
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2019
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6595187/
https://www.ncbi.nlm.nih.gov/pubmed/31294111
http://dx.doi.org/10.1016/j.heliyon.2019.e01959
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author Munguía, Rodrigo
Davalos, Jessica
Urzua, Sarquis
author_facet Munguía, Rodrigo
Davalos, Jessica
Urzua, Sarquis
author_sort Munguía, Rodrigo
collection PubMed
description This work presents a novel approach for estimating the Solow-Cobb-Douglas economic growth model. In this case, an Extended Kalman Filter is used for estimating, at the same time, the time-varying parameters of the model and the system state, from subsets of partially available economic data measurements. Different from traditional econometric techniques, the proposed EKF approach is applied directly to a state-space representation of the original nonlinear model, where all the model parameters are treated as time-varying parameters. An extensive nonlinear observability analysis was carried out in order to investigate the different subsets of measurements that can be used for estimating the state of the system, and also, in order to find out theoretically necessary conditions to achieve the observability system property. Experiments with real macroeconomic data are presented in order to validate the proposed approach. While the observability analysis offer theoretically conditions for system observability, the experimental results suggest that between the subsets of available economic data, some specific economic data are more relevant than others for better estimating the model.
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spelling pubmed-65951872019-07-10 Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach Munguía, Rodrigo Davalos, Jessica Urzua, Sarquis Heliyon Article This work presents a novel approach for estimating the Solow-Cobb-Douglas economic growth model. In this case, an Extended Kalman Filter is used for estimating, at the same time, the time-varying parameters of the model and the system state, from subsets of partially available economic data measurements. Different from traditional econometric techniques, the proposed EKF approach is applied directly to a state-space representation of the original nonlinear model, where all the model parameters are treated as time-varying parameters. An extensive nonlinear observability analysis was carried out in order to investigate the different subsets of measurements that can be used for estimating the state of the system, and also, in order to find out theoretically necessary conditions to achieve the observability system property. Experiments with real macroeconomic data are presented in order to validate the proposed approach. While the observability analysis offer theoretically conditions for system observability, the experimental results suggest that between the subsets of available economic data, some specific economic data are more relevant than others for better estimating the model. Elsevier 2019-06-21 /pmc/articles/PMC6595187/ /pubmed/31294111 http://dx.doi.org/10.1016/j.heliyon.2019.e01959 Text en © 2019 Published by Elsevier Ltd. http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Munguía, Rodrigo
Davalos, Jessica
Urzua, Sarquis
Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title_full Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title_fullStr Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title_full_unstemmed Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title_short Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach
title_sort estimation of the solow-cobb-douglas economic growth model with a kalman filter: an observability-based approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6595187/
https://www.ncbi.nlm.nih.gov/pubmed/31294111
http://dx.doi.org/10.1016/j.heliyon.2019.e01959
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