Statistical algorithms for models in state space using SsfPack 2.2
From MaRDI portal
Publication:4705831
DOI10.1111/1368-423X.00023zbMath0935.91034MaRDI QIDQ4705831
Siem Jan Koopman, Neil Shephard, Jurgen A. Doornik
Publication date: 25 November 1999
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00023
algorithms; Markov chain Monte Carlo; Kalman filtering; state space; Kalman smoothing; simulation smoother; univariate and multivariate models; Ox computing environment
91B82: Statistical methods; economic indices and measures
Related Items
Time Series Modelling of Daily Tax Revenues, Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models, Confidence intervals based on the deviance statistic for the hyperparameters in state space models, Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models, Trend–Cycle Decompositions with Correlated Components, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, Temporal disaggregation using multivariate structural time series models, Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints, Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation, The Co-Integrated Vector Autoregression with Errors–in–Variables, Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes, The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics, OpenMX 2.0: extended structural equation and statistical modeling, Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models, Stochastic volatility with leverage: fast and efficient likelihood inference, Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, Recursive estimation in econometrics, Intervention analysis with state-space models to estimate discontinuities due to a survey redesign, Long memory with stochastic variance model: a recursive analysis for US inflation, Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models, Dynamic factor analysis for short panels: estimating performance trajectories for water utilities, Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling, A fast and efficient Markov chain Monte Carlo method for market microstructure model, Exact maximum likelihood estimation for non-stationary periodic time series models, Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling, Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra, New proposals for the quantification of qualitative survey data, On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series, Transformations and seasonal adjustment, Forecast accuracy and effort: The case of US inflation rates, Econometric software development: past, present and future, State space models for time series with patches of unusual observations, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Continuous‐time modelling of irregularly spaced panel data using a cubic spline model, On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
Uses Software
