State Space/ Kalman Filter Toolbox,Author: Marcelo Perlin / (PhD Student) / ICMA – Reading University,This toolbox was designed to simulate and fit linear state space models with the kalman filter approach. The main literature I used for this particular package is Kim and Nelson (1999) and Hamilton (1994).

State_Space_Models_FEX\Example_FEX.mat
......................\Example_Script_1_kalmanFit.m
......................\Example_Script_1_kalmanSim.m
......................\Example_Script_1_kalmanSim_and_kalmanFit.m
......................\Example_Script_2_kalmanFit.m
......................\Example_Script_2_kalmanSim.m
......................\Example_Script_2_kalmanSim_and_kalmanFit.m
......................\Example_Script_3_kalmanFit.m
......................\Example_Script_4_kalmanFit.m
......................\m_Files
......................\.......\fixParam.m
......................\.......\getparam0_rollOLS.m
......................\.......\kalmanFit.m
......................\.......\kalmanLik.m
......................\.......\kalmanSim.m
......................\The_State_Space_Fitting_Function.pdf

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