The Modified Kalman Filter Macro

User's Guide

Claude Messan Setodji, J. R. Lockwood, Daniel F. McCaffrey, Marc N. Elliott, John L. Adams

ResearchPublished Nov 21, 2011

The Modified Kalman Filter approach for pooling information across time and across outcomes is shown to improve accuracy in national estimates of health outcomes including cancer, diabetes, and hypertension especially in small racial/ethnic subgroups. The developed SAS macro models true health states in each subgroup assuming a linear time evolution and an autoregressive deviation around such trend. The macro provides multiple options for users.

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Setodji, Claude Messan, J. R. Lockwood, Daniel F. McCaffrey, Marc N. Elliott, and John L. Adams, The Modified Kalman Filter Macro: User's Guide. Santa Monica, CA: RAND Corporation, 2011. https://www.rand.org/pubs/technical_reports/TR997.html.
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The research described in this report was sponsored by the Department of Health and Human Services and was conducted by RAND Health, a division of the RAND Corporation.

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