Brad Baxter

University of London - Economics, Mathematics and Statistics

Malet Street

London, WC1E 7HX

United Kingdom

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The Endogenous Kalman Filter

Number of pages: 39 Posted: 18 Apr 2007
Brad Baxter, Liam Graham and Stephen H. Wright
University of London - Economics, Mathematics and Statistics, University College London - Department of Economics and Birkbeck College, University of London
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Abstract:

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Dynamic general equilibrium; Kalman filter; Imperfect information; Signal extraction