| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0036 |
| 来源ID | Technical Working Paper 0036 |
| Conditional Projection by Means of Kalman Filtering | |
| Richard H. Clarida; Diane Coyle | |
| 发表日期 | 1984-05-01 |
| 出版年 | 1984 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/t0036 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558571 |
| 推荐引用方式 GB/T 7714 | Richard H. Clarida,Diane Coyle. Conditional Projection by Means of Kalman Filtering. 1984. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0036.pdf（461KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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