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Efficient matrix approach for classical inference in state space models

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  • Delle Monache, Davide
  • Petrella, Ivan

Abstract

Reformulating a Gaussian state space model in matrix form, we obtain expressions for the likelihood function and the smoothing vector that are generally more efficient than the standard recursive algorithm. We also retrieve filtering weights and deal with data irregularities.

Suggested Citation

  • Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, vol. 181(C), pages 22-27.
    • Handle: RePEc:eee:ecolet:v:181:y:2019:i:c:p:22-27
    DOI: 10.1016/j.econlet.2019.04.012
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    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    3. Shayan Zakipour-Saber, 2019. "State-dependent Monetary Policy Regimes," Working Papers 882, Queen Mary University of London, School of Economics and Finance.
    4. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised Dec 2023.

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    More about this item

    Keywords

    State space models; Likelihood; State smoothing; Sparse matrices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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