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Kalman Filter and its Economic Applications

Gurnain Pasricha ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper is an eclectic study of the uses of the Kalman filter in existing econometric literature. An effort is made to introduce the various extensions to the linear filter first developed by Kalman(1960) through examples of their uses in economics. The basic filter is first derived and then some applications are reviewed.

Keywords: Kalman Filter; Time-varying Parameters; Stochastic Volatility; Markov Switching (search for similar items in EconPapers)
JEL-codes: C10 B41 (search for similar items in EconPapers)
Date: 2006-10-15
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