A fast and stable method to compute the likelihood of time invariant state-space models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 65 (1999)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Casals, Jose & Sotoca, Sonia, 1997. "Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs," Economics Letters, Elsevier, vol. 57(3), pages 261-267, December.
- Watson, Mark W., 1989. "Recursive solution methods for dynamic linear rational expectations models," Journal of Econometrics, Elsevier, vol. 41(1), pages 65-89, May.
- Alfredo Garcia-Hiernaux & Jose Casals & Miguel Jerez, 2007.
"Estimating The System Order By Subspace Methods,"
Statistics and Econometrics Working Papers
ws070301, Universidad Carlos III, Departamento de Estadística y Econometría.
- Casals, J. & García-Hiernaux, A. & Jerez, M., 2012.
"From general state-space to VARMAX models,"
Mathematics and Computers in Simulation (MATCOM),
Elsevier, vol. 82(5), pages 924-936.
- Juan-Angel Jimenez-Martin & Alfonso Novales Cinca, 2009.
"State-Uncertainty preferences and the Risk Premium in the Exchange rate market,"
Documentos de Trabajo del ICAE
0908, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010. "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, vol. 27(5), pages 1043-1053, September.
- Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 0917, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
- Alfredo Garcia Hiernaux & Miguel Jerez & José Casals, 2005. "Unit Roots and Cointegrating Matrix Estimation using Subspace Methods," Documentos de Trabajo del ICAE 0512, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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