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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 (1′)
q
t
=
E
t
[
q
t
+
j
+
1
]
+
∑
i
=
0
j
E
t
[
d
t
+
i
−
1
,
t
+
i
]
+
∑
i
=
0
j
E
t
[
δ
t
+
i
]
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