Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
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- Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
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Keywordsfrequency domain estimation ; frequency domain bootstrap ; time‐varying parameters ; unobserved components models ;
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