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Smoothing With An Unknown Initial Condition

Author

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  • Piet De Jong
  • Singfat Chu‐Chun‐Lin

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.

Suggested Citation

  • Piet De Jong & Singfat Chu‐Chun‐Lin, 2003. "Smoothing With An Unknown Initial Condition," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 141-148, March.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:141-148
    DOI: 10.1111/1467-9892.00298
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    References listed on IDEAS

    as
    1. Ralph D. Snyder & Grant R. Saligari, 1996. "Initialization Of The Kalman Filter With Partially Diffuse Initial Conditions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(4), pages 409-424, July.
    2. Barr Rosenberg, 1973. "The Analysis of a Cross Section of Time Series by Stochastically Convergent Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 399-428, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Víctor Gómez & Félix Aparicio‐Pérez, 2009. "A new state–space methodology to disaggregate multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 97-124, January.
    2. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    3. Rajesh Selukar, 2010. "Estimability of the linear effects in state space models with an unknown initial condition," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 167-168, May.
    4. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
    5. Rodríguez, Gabriel, 2009. "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers 2009-011, Banco Central de Reserva del Perú.
    6. 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).
    7. 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.
    8. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
    9. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.

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