I don't know if "Lung India" is a great journal, but the "Efficacy of indoor air filters" section of this paper [1] doesn't offer much support. All studies are pretty small and focused on people with asthma or pet allergies. The few studies of populations without such conditions show what look to me like minor improvements, e.g. a ~5 mmHg drop in blood pressure. These aren't super strong studies though.
The argument that pops up in pro-air-filter pieces draws a line through "air pollution can be a big health hazard" (true), "air filters reduce some particulate content in the air" (true), and "air filters improve health" (unclear). But the "big health hazard" conclusion seems to come from intensely polluted environments, like poorly-ventilated homes that use kerosene, or areas with lots of smoke. For a generic first-world home I can't find much evidence.