Advanced Search
MyIDEAS: Login

Introduction aux modèles espace-état et au filtre de Kalman

Contents:

Author Info

  • Matthieu Lemoine
  • Florian Pelgrin

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=REOF_086_0203
Download Restriction: free

File URL: http://www.cairn.info/revue-de-l-ofce-2003-3-page-203.htm
Download Restriction: free

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

as in new window
Handle: RePEc:cai:reofsp:reof_086_0203

Contact details of provider:
Web page: http://www.cairn.info/revue-de-l-ofce.htm

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cai:reofsp:reof_086_0203. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.