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Smoothing With An Unknown Initial Condition

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  • Piet de Jong
  • Singfat Chu-Chun-Lin
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    Abstract

    The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures. Copyright 2003 Blackwell Publishing Ltd.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

    Volume (Year): 24 (2003)
    Issue (Month): 2 (03)
    Pages: 141-148

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    Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:141-148

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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    Cited by:
    1. Gabriel RODRIGUEZ, 2010. "Estimating Output Gap, Core Inflation, And The Nairu For Peru, 1979-2007," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
    2. Rafael Doménech & Víctor Gómez, 2005. "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, vol. 29(2), pages 259-288, May.
    3. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    4. Rodríguez, Gabriel, 2009. "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers 2009-011, Banco Central de Reserva del Perú.
    5. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.

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