Cited in
(94)- Chapter 8 Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series
- Continuous‐time modelling of irregularly spaced panel data using a cubic spline model
- Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
- Confidence intervals based on the deviance statistic for the hyperparameters in state space models
- scientific article; zbMATH DE number 1780448 (Why is no real title available?)
- Time series modelling methods to forecast the volume of self-assessment tax returns in the UK
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Temporal disaggregation using multivariate structural time series models
- A new filtering inference procedure for a GED state-space volatility model
- Estimation of missing values in linear~models
- The Foreman Lecture: the State Space Approach to Time Series Analysis and its Potential for Official Statistics (with Discussion)
- The co-integrated vector autoregression with errors-in-variables
- Some applications of nonlinear and non-Gaussian state-space modelling by means of hidden Markov models
- Transformations and seasonal adjustment
- Forecast accuracy and effort: the case of US inflation rates
- New proposals for the quantification of qualitative survey data
- News, volatility and jumps: the case of natural gas futures
- Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends
- Trends and cycles in economic time series: a Bayesian approach
- Signal extraction revision variances as a goodness-of-fit measure
- Improved frequency selective filters
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Computing the mean square error of unobserved components extracted by misspecified time series models
- New algorithms for dating the business cycle
- scientific article; zbMATH DE number 5280150 (Why is no real title available?)
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- The multi-state latent factor intensity model for credit rating transitions
- A review of some modern approaches to the problem of trend extraction
- OpenMX 2.0: extended structural equation and statistical modeling
- BUGS for a Bayesian analysis of stochastic volatility models
- Computing observation weights for signal extraction and filtering
- Signal extraction and the formulation of unobserved components models
- Robust analysis of default intensity
- Econometric software development: past, present and future
- Pitfalls in linear models for style analysis
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- EViews
- gretl
- OxMetrics
- RATS
- PcGets
- dlm
- A simple and efficient simulation smoother for state space time series analysis
- PcGive
- timsac
- S+FinMetrics
- ARFIMA
- Ox
- Svpack
- STAMP
- Spotfire
- ECOTOOL
- SSpace
- cts
- FKF
- CAPTAIN
- KFAS
- SSMMATLAB
- CSOLNP
- DyFA
- Mkfm6
- umx
- Stochastic volatility with leverage: fast and efficient likelihood inference
- SSM
- Algorithm 675
- TRAMO
- sspir
- Prediction and forecasting in linear models with measurement error
- Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling
- Diagnosing seasonal shifts in time series using state space models
- stlh
- Forecasting the US unemployment rate
- dynamichazard
- Exact maximum likelihood estimation for non-stationary periodic time series models
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- Statistical algorithms for models in state space using SsfPack 2.2
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- NGSSEML
- Computationally intensive econometrics using a distributed matrix-programming language
- Intervention analysis with state-space models to estimate discontinuities due to a survey redesign
- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
- Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
- An iterated parametric approach to nonstationary signal extraction
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
- The dynamics of economic functions: modeling and forecasting the yield curve
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
- Model-based measurement of actual volatility in high-frequency data
- Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
- Quantiles, expectiles and splines
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