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- Fri Aug 05, 2011 8:55 am
- Forum: Estimation
- Topic: Unobserved Components Model (Kalman Filter)
- Replies: 1
- Views: 3639
Unobserved Components Model (Kalman Filter)
Hi #1 Im trying to forecast industrial production using Kalman filter. I’m following the paper by Antoniou et al. (footnote 1) http://web.bi.no:8000/MCFileManager/files/InstFinansiellOkonomi/agp_jef.pdf where they use the unobserved components model: Yt = Yt* + ut Yt* = Yt-1* + et I was wondering wh...