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Employing Extended Kalman Filter in a Simple Macroeconomic Model [PDF]

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In this study, the estimation power of Extended Kalman Filter is tested within a simple Keynesian macroeconomic model. After the model is written in a non-linear state space form, Extended Kalman Filter emerges as the appropriate methodology to estimate ...
Fikri Ozturk, Levent Ozbek, Umit Ozlale
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