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- W1550265077 abstract "This paper derives one-month ahead forecasts of the money (M I) multiplier using the Multi-State Kalman Filter and Box-Jenkins ARIMA methods. A comparison of the forecasts far the period 1980-82 reveals that the Multi-State Kalman Filter procedure was generally superior to the ARIMA procedure In terms of most summary statistics. The superiority is traced to the turbulent period of 1980-81. This paper also compares aggregate and component forecasts of the multiplier. The aggregate Multi-State Kalman Filter was the most accurate in predicting the one-month ahead money multiplier." @default.
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- W1550265077 date "1985-01-01" @default.
- W1550265077 modified "2023-09-27" @default.
- W1550265077 title "Comparing Multi-State Kalman Filter and ARIMA Forecasts: An Application to the Money Multiplier" @default.
- W1550265077 cites W2081794942 @default.
- W1550265077 doi "https://doi.org/10.20955/wp.1985.001" @default.
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