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YADA Manual - Computational Details

YADA Manual Computational DetailsAnders WarneOctober 26, 2018 Abstract:YADA (Yet AnotherDsgeApplication) is a Matlab program for Bayesian estimation andevaluation of Dynamic Stochastic General Equilibrium and vector autoregressive models. This pa-per provides the mathematical Details for the various functions used by the software. First, somerather famous examples of DSGE models are presented and all these models are included as ex-amples in the YADA distribution. YADA supports a number of different algorithms for solvinglog-linearized DSGE models. The fastest algorithm is the socalled Anderson-Moore algorithm(AiM), but the approaches of Klein and Sims are also covered and have the benefit of being nu-merically more robust in certain situations. The AiM parseris used to translate the DSGE modelequations into a structural form that the solution algorithms can make use of.

5.15. A Univariate Approach to the Multivariate Kalman Filter..... 96 5.15.1. Univariate Filtering and Smoothing with Standard Initialization..... 96

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