Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs

DOI10.1016/S0165-1765(97)00180-8MaRDI QIDQ1127411zbMATH OpenFDO

Authors J. Casals, S. Sotoca

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(97)00180-8

zbMATH Keywords

initial conditionsKalman filterstate space modelsstationarity

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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Cites work

• Autoregressive conditional heteroscedasticity: a comparison of ARCH and random coefficient models
• Covariance matrix computation of the state variable of a stationary Gaussian process
• Estimation of dynamic econometric models with errors in variables
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Evaluation of likelihood functions for Gaussian signals
• scientific article; zbMATH DE number 3709465 (Why is no real title available?)
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 50653 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Intervention Analysis with Applications to Economic and Environmental Problems
• Recursive solution methods for dynamic linear rational expectations models
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• The likelihood for a state space model

Cited in

(3)

• A fast and stable method to compute the likelihood of time invariant state-space models.
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• The exact likelihood for a state space model with stochastic inputs

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