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Introduction aux modèles espace-état et au filtre de Kalman


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  • Matthieu Lemoine
  • Florian Pelgrin


This article details the main concepts, problems and applications related to state-space models. We first present the general framework for these models and we, then, make explicit the algorithms used for the estimation, i.e. the Kalman filter and the EM algorithm. We, finally, analyse four applications : the decomposition of series into trend and cycle, the extraction of coincident economic indicators, the estimation of a time-varying equilibrium unemployment rate (TV-NAIRU) and the assessment of the informative content of the yield curve regarding future inflation.

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

Volume (Year): 86 (2003)
Issue (Month): 3 ()
Pages: 203-229

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Handle: RePEc:cai:reofsp:reof_086_0203

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Cited by:
  1. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien
    [Estimated Changes in Prices of Coffee and
    ," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.
  2. Frédéric Reynès & Henri Sterdyniak & Eric Heyer, 2004. "Variables observables et inobservables dans la théorie du taux de chômage d'équilibre : une comparaison France / Etats-Unis," Sciences Po publications N° 2004-03, Sciences Po.


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