Kalman Filter and its Economic Applications
This 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.
|Date of creation:||15 Oct 2006|
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"Employing the extended Kalman filter in measuring the output gap,"
Journal of Economic Dynamics and Control,
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