maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

Kalman-filtering-based maximum-likelihood estimation method. Following the method, we estimate monthly and quarterly VAR(2 … GDP forecasts. The Kalman filter is used to compute the likelihood in estimation and to produce forecasts. Generally, the …

estimation method, based on advances in economics, statistics, and applied mathematics, which involves estimating a structural …