Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059018 | Economics Letters | 2015 | 4 Pages |
Abstract
This note describes how the Kalman filter and the Kalman smoother can be modified to allow for the vector of observables to be a function of lagged state variables without increasing the dimension of the state vector in the filter.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kristoffer P. Nimark,