RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (14)
[
E
t
[
d
t,t
+
1
]
e
t
w
t
]
=
[
ρ
λ
0
0
0
0
0
0
1
]
[
E
t
−
1
[
d
t
−
2
,
t
−
1
]
e
t
−
1
w
t
−
1
]
+
[
u
1
t
u
2
t
u
3t
]
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