Applications of the Kalman filter in econometrics.

Author(s)
Harvey, A.C.
Year
Abstract

The state space framework is a very general one, and so the Kalman filter is capable of tackling a wide range of problems. Because of this and because of the complexity of some of the technical material, some econometricians have tended to feel that Kalman filtering is not really appropriate in economics. In this paper an attempt is made to show that the Kalman filter is fundamental to the modelling of time series data within an econometric framework.

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Publication

Library number
B 27074 fo /10 /71 /
Source

Cambridge, Cambridge University Press, 1987, p. 285- 313, 46 ref.

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