This note describes how the Kalman filter can be modified to allow for the vector of observables to be a function of lagged variables without increasing the dimension of the state vector in the filter. This is useful in applications where it is desirable to keep the dimension of the state vector...

This note describes how the Kalman filter and the Kalman smoother can be modified to allow for the vector of observables to be a function of lagged state variables without increasing the dimension of the state vector in the filter.