2008 Methods Lecture, Mark Watson, "The Kalman filter, Nonlinear filtering, and Markov Chain..."

Whole-channel inclusion: NBER is an honest teaching channel (title sample + 3 transcripts read: All three transcripts show rigorous academic lectures/research presentations by economists teaching substantive methods and findings to scholarly audiences, consistent with the whole-channel verdict.); this title passed a strict title check (sonnet) after a labelling pass.

A 88-minute video from NBER: “2008 Methods Lecture, Mark Watson, "The Kalman filter, Nonlinear filtering, and Markov Chain..."”.

Video by NBER, played through YouTube's embedded player.