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RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation
lim
T
→
∞
σ
2
q
(
T
)
=
β
2
[
λ
2
σ
2
2
+
σ
1
2
]
(
1
−
ρ
)
3
(
1
+
ρ
)
+
lim
T
→
∞
T
σ
3
2
+
2
β
σ
13
(
1
−
ρ
)
2
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