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Description:
Author : Gurnain Kaur Pasricha
Abstract. The 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.
Keywords. Kalman filter; Time-varying parameters; Stochastic volatility
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Publisher: Not Specified
Published: Fri, 25-Jan-2008
ICRA: EC - Early Childhood
linked: 1073 times
Rating:  (1 Vote)
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