Is there a liquidity effect? An investigation using the Kalman filter
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- P. A. V. B. Swamy & Peter A. Tinsley, 1976.
"Linear prediction and estimation methods for regression models with stationary stochastic coefficients,"
Special Studies Papers
78, Board of Governors of the Federal Reserve System (U.S.).
- Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
- Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
- Harvey,Andrew C., 1990.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge University Press, number 9780521321969, june. pag.
- Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737, june. pag.
- Frederic S. Mishkin, 1981.
"Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach,"
NBER Working Papers
0693, National Bureau of Economic Research, Inc.
- Mishkin, Frederic S, 1982. " Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," Journal of Finance, American Finance Association, vol. 37(1), pages 63-72, March.
- Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
- Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
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