Harvey, Andrew C.; Delle Monache, Davide - In: Journal of Economic Dynamics and Control 33 (2009) 2, pp. 283-295
Algorithms are presented for computing mean square errors in a misspecified unobserved components model when the true model is known. It is assumed that both the true and misspecified models can be put in linear state space form. The algorithm for filtering is based on the Kalman filter while...
