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A low dimensional Kalman filter for systems with lagged states in the measurement equation

Kristoffer Nimark ()

Economics Letters, 2015, vol. 127, issue C, 10-13

Abstract: This note describes how the Kalman filter and the Kalman smoother can be modified to allow for the vector of observables to be a function of lagged state variables without increasing the dimension of the state vector in the filter.

Keywords: Kalman filter; Lagged observables; Kalman smoother; Simulation smoother (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:ecolet:v:127:y:2015:i:c:p:10-13