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El Teorema de Extracción de Señales y la Estimación de Parámetros Variables: Una Nota
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TL;DRAbstract
Models with variable parameters are increasingly being used in macroeconomics and in other branches of economics. The purpose of this note is to illustrate how the "Signal-Extraction Theorem" can be used to deduce different algorithms that enable us to es
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Models with variable parameters are increasingly being used in macroeconomics and in other branches of economics. The purpose of this note is to illustrate how the "Signal-Extraction Theorem" can be used to deduce different algorithms that enable us to es
Keywords
Kalman filterEconometricsRational expectationsStability (learning theory)Econometric modelSimple (philosophy)Filter (signal processing)Economics
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