我现在是一个博士生,但如果只是应用的话(而且也已经用烂掉了),真不知道和硕士有什么区别.Do not expect too high. You can try to read some papers related to similar techniques. For instance, in nonlinear econometrics, there is Hanmilton's Markov Switching model where a bit sophiscated nonlinear filter technique is developed. there is also HP filter widely used in macroeconometrics. Try to obtain some inspiration from there.Kalman Filter was first developed in Engineering. You may also coparate with others in Engineering. Whether you can have original theoretical contribution in a large extent depends on whether you have a really good teacher/Supervisor/Bo Dao and, of course, depends on your training in economic and econometric theory, as a whole, not just the fact that you know Kalman Filter.
Harvey, Ruiz and Sentana 1992 "Unobservable component time series models with ARCH Diturbance", J of Econometrics, 52
King, Sentana and Wadhwai 1994,"Volatility and links between national stock markets" Econometrica, 62
The above two papers are just examples where Kalman filter technique is allpied. You can also try to read some "Stochastic Volatility" papers (not a title of a paper, it is literature) to do some empirical analysis.
-------------Just my personal idea which can be very limited or naive. Hope this is useful ----------------
[此贴子已经被作者于2006-3-23 4:01:55编辑过]
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