Restricted Kalman filtering revisited

Adrian Pizzinga, Cristiano Fernandes and Sergio Contreras

Journal of Econometrics, 2008, vol. 144, issue 2, 428-429

Abstract: We propose a more compact and general derivation of results concerning the estimation of linear state space models with linear restrictions in the state vector. The resulting methodological contributions are that the restricted Kalman filtering is valid regardless of the type of linear restriction being considered, and that linear restrictions can be carried out by any type of state smoothing.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:144:y:2008:i:2:p:428-429

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