Template-type: ReDIF-Paper 1.0
Author-Name: Emilio Cerdá Tena
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico I (Análisis Económico). Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es//departamento-de-analisis-economico-y-economia-cuantitativa
Title: Generalization of the Kalman Filter for a kind of rational expectations models 
Abstract: In this papel we obtain a generalization of the Kalman Filter for a kind of models in which the value of the vector variable in 
	period t is explained linearly by the value it had in the previous period, by the pational expectations about the value that the 
	variable y would take in period t, that the economic agents had in previous periods and by additive Gaussian noise. Then we try to 
	get rid of the Gaussian hypothesis and we find a kind of systems in which we don't need that hypothesis, although these systems 
	will not be, in general, rational expectations models.

Keywords: Kalman Filter.

Length: 16 pages 
Creation-Date: 1988 
Number: 88-20   
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra88-20.txt	 
File-URL: https://eprints.ucm.es/id/eprint/23555/1/8820.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:88-20