Conditional Projection by Means of Kalman Filtering
收藏NBER1984-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0036
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资源简介：
We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are more
提供机构：
美国国家经济研究局
创建时间：
1984-05-01
