The Importance of Kalman Filtering Methods for Economic Systems
In: Annals of Economic and Social Measurement, Volume 3, number 1
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- Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
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- Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, pages 231-250.
- Francisco Venegas & Enrique de Alba, 1995. "An Economist´s guide to the Kalman filter," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 10(2), pages 123-145.
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