RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (12)
[
q
t
d
t
]
=
[
β
/
(
1
−
ρ
)
0
1
1
1
0
]
[
E
t
[
d
t,t
+
1
]
e
t
w
t
]
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