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Kalman Filter and its Economic Applications

Author

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  • Pasricha, Gurnain Kaur

Abstract

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.

Suggested Citation

  • Pasricha, Gurnain Kaur, 2006. "Kalman Filter and its Economic Applications," MPRA Paper 22734, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:22734
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    File URL: https://mpra.ub.uni-muenchen.de/22734/1/MPRA_paper_22734.pdf
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    References listed on IDEAS

    as
    1. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
    2. Ozbek, Levent & Ozlale, Umit, 2005. "Employing the extended Kalman filter in measuring the output gap," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1611-1622, September.
    3. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Kawashima, Shigekazu & Sari, Deffi Ayu Puspito, 2010. "Time-varying Armington elasticity and country-of-origin bias: from the dynamic perspective of the Japanese demand for beef imports," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 54(1), March.
    2. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    3. Sergey Sinelnikov-Murylev & Sergey Drobyshevsky & Maria Kazakova & Michael Alexeev, 2016. "Decomposition of Russia's GDP Growth Rates," Research Paper Series, Gaidar Institute for Economic Policy, issue 167P, pages 123-123.
    4. Yüksel, Ebru & Metin-Ozcan, Kivilcim & Hatipoglu, Ozan, 2013. "A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through," Economic Systems, Elsevier, vol. 37(1), pages 122-134.
    5. Rocío Elizondo, 2012. "Monthly GDP estimates based on the IGAE," Working Papers 2012-11, Banco de México.
    6. Aguilar-Argaez Ana María & Elizondo Rocío & Roldán-Peña Jessica, 2016. "Break-Even-Inflation's Decomposition in Mexico," Working Papers 2016-22, Banco de México.
    7. Sinelnikov-Murylev, Sergei & Drobyshevskiy, Sergei & Kazakova, Maria, 2014. "Decomposition of the russian GDP growth rate in 1999-2014," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 7-37, October.

    More about this item

    Keywords

    Kalman Filter; Time-varying Parameters; Stochastic Volatility; Markov Switching;

    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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