RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (7)
6.
E
[
u
i,t,
u
j
,
t
−
k
]
=
0
;
i
,
j
=
1
,
2
,
3
;
k
≥
1
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