Métodos de estimación no lineal aplicados al problema de expectativas de inflación

This work describes and analyses the Extended Kalman Filter with regard to an equation that relates the dynamic of the expected real interest rates and inflation. An estimation of the ex ante inflation for a preestablished data set is carried out. This is compared with the same calculation using a moving horizon estimation method for situations that are non lineal due to parametric uncertainties of the model. From the application of these methods to real data, it can be concluded that the estimations based on the moving horizon method, combined with a heuristic optimization algorithm, yield better results.