Unobserved Components Models in Economics and Finance: The role of the Kalman filter in time series econometrics

IEEE Control Systems

Volumn 29, Issue 6, 2009, Pages 71-81

  Harvey, Andrew ^a   Koopman, Siem Jan ^b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC TIME SERIES; FINANCIAL DATA; JOINT MODELING; NON-LINEAR MODEL; POLICY MAKING; SIMPLE MODEL;

TIME SERIES;

STOCHASTIC MODELS;

EID: 75449098475     PISSN: 1066033X     EISSN: None     Source Type: Journal    
DOI: 10.1109/MCS.2009.934465     Document Type: Article

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