Precision-based sampling for state space models that have no measurement error

DOI10.1016/J.JEDC.2023.104720MaRDI QIDQ6094495zbMATH OpenOpenAlexFDO

Authors Elmar Mertens

Publication date 14 September 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104720

zbMATH Keywords

state space modelssignal extractionband matrixKalman filter and smootherprecision-based sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• A note on implementing the Durbin and Koopman simulation smoother
• A simple and efficient simulation smoother for state space time series analysis
• Business Cycle Accounting
• Efficient simulation and integrated likelihood estimation in state space models
• High-dimensional conditionally Gaussian state space models with missing data
• Inference in Semiparametric Dynamic Models for Binary Longitudinal Data
• On Gibbs sampling for state space models
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Reducing the state space dimension in a large TVP-VAR
• Simulation smoothing for state-space models: a computational efficiency analysis
• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time series analysis by state space methods.
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(2)

• Exact Sampling from a Continuous State Space
• Forecasting with shadow rate VARs

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