Matlab code for the Kalman filter
Thomas Sargent ()
QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles
Computes the Kalman gain and the stationary covariance matrix using the Kalman filter of a linear forward looking model
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http://dge.repec.org/codes/sargent/KFILTER.M program code (application/x-matlab)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:20
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