Monetary Policy Application of the Constrained Kalman Filter
| Authors | |
|---|---|
| Year of publication | 2004 |
| Type | Article in Proceedings |
| Conference | PROCEEDINGS OF THE 22ND INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2004 |
| MU Faculty or unit | |
| Citation | |
| Description | Iterative Kalman Filter Smoother is used to estimate states of the dynamic system. This paper presents an analytic method of incorporating state constraints into the Kalman Filter as it was researched by Dan Simon, Donald L. Simon and Tien Li Chia. This extension of the Kalman Filter has various applications. The presented macroeconomic application successfully demonstrates the effectiveness of these methods. |