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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 (2b)
q
t
=
∑
j
=
0
∞
β
E
t
[
d
t+j-1,t+j
]
+
w
t
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeyCamaaBa aaleaacaqG0baabeaakiabg2da9maaqahabaGaeqOSdiMaaeyramaa BaaaleaacaqG0baabeaakiaacUfacaqGKbWaaSbaaSqaaiaabshaca qGRaGaaeOAaiaab2cacaqGXaGaaeilaiaabshacaqGRaGaaeOAaaqa baGccaGGDbaaleaacaqGQbGaeyypa0JaaGimaaqaaiabg6HiLcqdcq GHris5aOGaey4kaSIaae4DamaaBaaaleaacaqG0baabeaaaaa@5030@