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
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)
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