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MULTIVARIATE KALMAN FILTER

Posted: Thu Apr 13, 2017 3:44 am
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

Re: MULTIVARIATE KALMAN FILTER

Posted: Thu Apr 13, 2017 8:31 am
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.