Logo
Munich Personal RePEc Archive

Kalman Filter and its Economic Applications

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

[thumbnail of MPRA_paper_22734.pdf]
Preview
PDF
MPRA_paper_22734.pdf

Download (166kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.