ESTIMATION OF UNOBSERVED EXPECTED MONTHLY INFLATION USING KALMAN FILTERING

被引：31

作者：

BURMEISTER, E ^{[1
]}

WALL, KD ^{[1
]}

HAMILTON, JD ^{[1
]}

机构：

[1] UNIV VIRGINIA,DEPT SYST ENGN,CHARLOTTESVILLE,VA 22901

来源：

关键词：

D O I：

10.2307/1391314

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：147 / 160

页数：14

共 28 条

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BURMEISTER, E
WALL, KD
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[3] BURMEISTER E, 1984, INT EC REV
[4] BURMEISTER E, 1984, LECT NOTES CONTROL I, V63, P279
[5] BURMEISTER E, 1986, FINANCIAL REV
[6] CHEN NF, 1983, CRSP119 U CHIC WORK
[7] COOLEY TF, 1977, ANN ECON SOC MEAS, V6, P453
[8] A COMPARISON OF INFLATION-FORECASTS
FAMA, EF
GIBBONS, MR
[J]. JOURNAL OF MONETARY ECONOMICS, 1984, 13 (03) : 327 - 348
[9] FAMA ER, 1982, J MONETARY ECON, V9, P295
[10] GESSLER G, 1981, UNPUB EFFICIENT MARK