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University of Essex

Seminars for 2017/18

14 September 2016: Using Kalman Filters for Making Predictions Under Uncertainty (Management Science & Entrepreneurship Group)

Dr Siddhartha Chattopadhyay from Indian Institute of Technology, Kharagpur, India

At 11:00 in GB 3.50.

Abstract: Inflation expectations is an important marker for monetary policy makers. India being a new entrant to the group of countries that pursue inflation targeting as its monetary policy objective, estimating the inflation expectation is of paramount importance. This paper estimates the unobserved inflation expectations in India between 1993:Q1 to 2015:Q2 from the Fisher Equation using the state space (Kalman filters) approach. We find that our results match well with realized inflation and the inflation forecasts of SPF made by the IMF. Our paper also provides evidence that the Fisher Equation is well satisfied in India during the post-liberalization regime.


Kalman filter is a well established algorithm for making future predictions based on current data in the presence of uncertainty or unobserved latent variables. Siddhartha's talk demonstrated the use of this approach in the context of making macroeconomic predictions.

Seminar end time: 12 noon

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