Article ID Journal Published Year Pages File Type
5059018 Economics Letters 2015 4 Pages PDF
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
Preview
A low dimensional Kalman filter for systems with lagged states in the measurement equation
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