Model
Digital Document
Publisher
Florida Atlantic University
Description
This thesis demonstrates the theory and the application of
the Kalman filter model, a model where the coefficients are
not assumed to be constant over time but time-varying. This
model is approached in two different ways. The first is the
recursive approach and the second is the Mixed estimation
approach. Both of these two approaches describe in
different ways the original Kalman filter model. This thesis
also contains an empirical application of the Kalman filter
model, using real data from the Greek economy to estimate
the Demand for Money.
the Kalman filter model, a model where the coefficients are
not assumed to be constant over time but time-varying. This
model is approached in two different ways. The first is the
recursive approach and the second is the Mixed estimation
approach. Both of these two approaches describe in
different ways the original Kalman filter model. This thesis
also contains an empirical application of the Kalman filter
model, using real data from the Greek economy to estimate
the Demand for Money.
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