MULTIVARIATE KALMAN FILTER

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Deepika
Posts: 43
Joined: Fri Apr 17, 2015 12:55 am

MULTIVARIATE KALMAN FILTER

Unread post by Deepika »

Respected Sir

I am looking to replicate the IMF working paper titled, "Beneš, J., Clinton, K., García-Saltos, R., Johnson, M., Laxton, D., Manchev, P. B., & Matheson, T. (2010). “Estimating Potential Output with a Multivariate Filter,” IMF Working Paper, WP/10/285, for Indian economy. Could you help me on this ??

Regards
Deepika
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: MULTIVARIATE KALMAN FILTER

Unread post by TomDoan »

How big a research staff do you have? Seriously, that's the research output of a group at the ECB. It took five authors and probably an equal number of RA's to tweak the model, the data and the priors (particularly the priors) to get that done.
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