A low dimensional Kalman filter for systems with lagged states in the measurement equation
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DOI: 10.1016/j.econlet.2014.12.016
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- Hauber, Philipp & Schumacher, Christian & Zhang, Jiachun, 2019. "A flexible state-space model with lagged states and lagged dependent variables: Simulation smoothing," Discussion Papers 15/2019, Deutsche Bundesbank.
- Kurz, Malte S., 2018. "A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation," Economics Letters, Elsevier, vol. 168(C), pages 42-45.
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More about this item
Keywords
Kalman filter; Lagged observables; Kalman smoother; Simulation smoother;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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