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The Importance of Kalman Filtering Methods for Economic Systems

In: Annals of Economic and Social Measurement, Volume 3, number 1

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  • Michael Athans

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  • Michael Athans, 1974. "The Importance of Kalman Filtering Methods for Economic Systems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 1, pages 49-64, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:9994
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    1. Michael Athans, 1972. "The Discrete Time Linear-Quadratic-Gaussian Stochastic Control Problem," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 4, pages 449-491, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
    2. Francisco Venegas & Enrique de Alba, 1995. "An Economist´s guide to the Kalman filter," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 10(2), pages 123-145.
    3. Ashwin Madhou, 2015. "Demystifying output gap pressure through surveys in a monetary analysis setting: an experimental perspective," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    4. Schlicht, Ekkehart, 2006. "Macroeconomic Confusion," Discussion Papers in Economics 886, University of Munich, Department of Economics.
    5. Svec, Jiri & Katrak, Xerxis, 2017. "Forecasting volatility with interacting multiple models," Finance Research Letters, Elsevier, vol. 20(C), pages 245-252.
    6. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    7. O. Olawale Awe & A. Adedayo Adepoju, 2018. "Modified Recursive Bayesian Algorithm For Estimating Time-Varying Parameters In Dynamic Linear Models," Statistics in Transition New Series, Polish Statistical Association, vol. 19(2), pages 239-258, June.
    8. A Vadivel & M Ramachandran, 2014. "The Reserve Bank of India's Reaction to Exchange Rate Variation: A timevarying parametric approach," IEG Working Papers 339, Institute of Economic Growth.
    9. Yasin Akcelik & Orcan Cortuk & Ibrahim Turhan, 2014. "Mitigating Turkey’s Trilemma Tradeoffs," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(6), pages 102-118, November.
    10. Chee-Yee Chong & David Cheng, 1975. "Multistage Pricing under Uncertain Demand," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 4, number 2, pages 311-323, National Bureau of Economic Research, Inc.
    11. Schlicht, Ekkehart & Ludsteck, Johannes, 2006. "Variance Estimation in a Random Coefficients Model," Discussion Papers in Economics 904, University of Munich, Department of Economics.
    12. Sajjadur Rahman, 2018. "The Lucas hypothesis on monetary shocks: evidence from a GARCH-in-mean model," Empirical Economics, Springer, vol. 54(4), pages 1411-1450, June.
    13. Deleau Michel & Malgrange Pierre, 1976. "Application des méthodes d'optimisation aux modèles macroéconomiques de politique économique (l')," CEPREMAP Working Papers (Couverture Orange) 7606, CEPREMAP.
    14. Gerardo Dubcovsky & Francisco Venegas-Martínez, 2003. "The Kalman Filter In The Event-Study Methodology," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 2(1), pages 81-93, Marzo 200.

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