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The Kalman Filter: Applications to Forecasting and Rational Expectations Models // Invited Paper to the World Congress of the Econometric Society, Cambridge, 1985, in Advances in Econometrics Fifth World Congress, Volume I, ed. Truman Bewley), pp. 245-283.

Опубликовано на портале: 02-03-2004
Cambridge, Mass: Cambridge University Press, 1994
Тематический раздел:
This paper provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the paper is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models.