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Edwin, B., Wall, K.D. and Hamilton, J.D. (1986) Estimation of Unobserved Expected Monthly Inflation Using KalmanFilterng. Journal of Business & Economic Statistics, 4, 147-160.
https://doi.org/10.1080/07350015.1986.10509510

has been cited by the following article:

• TITLE: Estimation of Unobserved Inflation Expectations in India Using State-Space Model

  AUTHORS: Siddhartha Chattopadhyay, Sohini Sahu, Saakshi

  KEYWORDS: Fisher Equation, Kalman Filter, Expected Inflation, India

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.5, June 19, 2019

  ABSTRACT: This paper estimates the unobserved inflation expectations in India between 1993: Q1 to 2017: Q1 from the Fisher equation relation based on the state space approach using Kalman Filter. We find inflation forecast obtained from Fischer equation by applying Kalman Filter match well with the inflation forecasts made by the Survey of Professional Forecasters and Inflation Expectations Survey of Household conducted by the Reserve Bank of India and the International Monetary Fund for the Indian economy.