Conditional Projection by Means of Kalman Filtering / Richard H. Clarida, Diane Coyle.

Format:

Book

Author/Creator:

Clarida, Richard H.

Contributor:

National Bureau of Economic Research.

Coyle, Diane.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0036.

NBER technical working paper series no. t0036

Language:

English

Subjects (All):

Kalman filtering.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1984.

Cambridge, Massachussetts : National Bureau of Economic Research, [1984]

Summary:

We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are more easily programmed and modified to incorporate different linear constraints, avoid cumbersome matrix inversions, and provide estimates of the full variance covariance matrix of the constrained projection errors which can be used directly, under standard normality assumptions, to test statistically the likelihood and internal consistency of the forecast under study.

Notes:

Print version record

May 1984.