RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter Equation (3)

2. E t [ d t,t+1 ]=ρ E t [ d t−1,t ]+ v t ; ρ<1 MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaqbaeaabeWaaa qaaiaaikdacaGGUaaabaGaaeyramaaBaaaleaacaqG0baabeaakiaa cUfacaqGKbWaaSbaaSqaaiaabshacaqGSaGaaeiDaiabgUcaRiaaig daaeqaaOGaaiyxaiabg2da9iabeg8aYjaabweadaWgaaWcbaGaaeiD aaqabaGccaGGBbGaaeizamaaBaaaleaacaqG0bGaeyOeI0IaaGymai aacYcacaqG0baabeaakiaac2facqGHRaWkcaqG2bWaaSbaaSqaaiaa bshaaeqaaOGaai4oaaqaaiabeg8aYjabgYda8iaaigdaaaaaaa@53A2@