A fast and stable method to compute the likelihood of time invariant state-space models.

DOI10.1016/S0165-1765(99)00165-2zbMath1134.62362WikidataQ126400315 ScholiaQ126400315MaRDI QIDQ1606272

José Casals, Sonia Sotoca, Miguel Jerez

Publication date: 24 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (11)

Unit roots and cointegration modelling through a family of flexible information criteria ⋮ Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models ⋮ From general state-space to VARMAX models ⋮ On simulation of optimal strategies and Nash equilibrium in the financial market context ⋮ Minimally conditioned likelihood for a nonstationary state space model ⋮ Decomposition of a state-space model with inputs ⋮ Convergence of Discount Time Series Dynamic Linear Models ⋮ Estimating the system order by subspace methods ⋮ On multiplicative seasonal modelling for vector time series ⋮ Fast estimation methods for time-series models in state–space form ⋮ Single and multiple error state-space models for signal extraction

Uses Software

• E4

Cites Work

• Unnamed Item
• Recursive solution methods for dynamic linear rational expectations models
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• Estimation of dynamic econometric models with errors in variables
• Factorization methods for discrete sequential estimation
• Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
• The likelihood for a state space model
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• General matrix pencil techniques for the solution of algebraic Riccati equations: a unified approach

This page was built for publication: A fast and stable method to compute the likelihood of time invariant state-space models.