Kalman Filter and its Economic Applications

Pasricha, Gurnain Kaur (2006): Kalman Filter and its Economic Applications.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Kalman Filter; Time-varying Parameters; Stochastic Volatility; Markov Switching
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology > B41 - Economic Methodology

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