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

DOI10.1016/S0165-1765(99)00165-2MaRDI QIDQ1606272zbMATH OpenWikidataFDO

Authors J. Casals, S. Sotoca, M. Jerez

Publication date 24 July 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(99)00165-2

Mathematics Subject Classification ID

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

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Cites work

• Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
• Estimation of dynamic econometric models with errors in variables
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• Factorization methods for discrete sequential estimation
• General matrix pencil techniques for the solution of algebraic Riccati equations: a unified approach
• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• 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

(18)

• On simulation of optimal strategies and Nash equilibrium in the financial market context
• Minimally conditioned likelihood for a nonstationary state space model
• Efficient matrix approach for classical inference in state space models
• Estimating the system order by subspace methods
• Decomposition of a state-space model with inputs
• Fast estimation methods for time-series models in state–space form
• The likelihood for a state space model
• From general state-space to VARMAX models
• Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
• Review of SsfPack 2.2: statistical algorithms for models in state space
• scientific article; zbMATH DE number 946658 (Why is no real title available?)
• Efficient Likelihood Evaluation of State-Space Representations
• Single and multiple error state-space models for signal extraction
• Unit roots and cointegration modelling through a family of flexible information criteria
• Convergence of Discount Time Series Dynamic Linear Models
• The exact likelihood for a state space model with stochastic inputs
• Identification of canonical models for vectors of time series: a subspace approach
• On multiplicative seasonal modelling for vector time series

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Uses Software

• E4

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