RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (13)
α
t
=
T
α
t
−
1
+
η
t
;
η
t
~
NID
(
0
,
Q
t
)
(
3
×
1
)
(
3
×
3
)
(
3
×
1
)
(
3
×
1
)
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