Edge, Rochelle; Laubach, Thomas - Society for Computational Economics - SCE - 2004
general equilibrium model. We find that a simple updating rule based on an estimated Kalman filter model using real-time data … economists (see Denison
1979, Norsworthy, Harper, and Kunze 1979, and references therein.)
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3.1 The Kalman Filter
Consider the …-time Kalman Filter Estimates
To compute real-time Kalman lter estimates, we rst construct a set of real-time historical
annual …