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
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