RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (15)
log
L
(
y
,
θ
)
=
−
ln
2
Π
−
0.5
ln
|
F
t
|
−
0.5
υ
t
′
F
t
−
1
υ
t
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