Kalman Filter and its Economic Applications
AbstractThis paper is an eclectic study of the uses of the Kalman filter in existing econometric literature. An effort is made to introduce the various extensions to the linear filter first developed by Kalman(1960) through examples of their uses in economics. The basic filter is first derived and then some applications are reviewed.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22734.
Date of creation: 15 Oct 2006
Date of revision:
Kalman Filter; Time-varying Parameters; Stochastic Volatility; Markov Switching;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
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