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RDP 8601: Classical Models and Unobserved Aggregates
Equation
(
M
t
−
1
−
t
−
1
M
t
−
1
)
=
(
1
−
(
(
σ
/
σ
μ
)
2
)
−
(
(
σ
/
σ
d
)
2
)
(
z
t
−
1
−
t
−
2
z
t
−
1
)
−
(
(
σ
/
σ
μ
)
2
)
μ
t
−
1
−
(
(
σ
/
σ
d
)
2
)
ε
t
−
1
d
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