A fast and stable method to compute the likelihood of time invariant state-space models
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Bibliographic Info
Article provided by Elsevier in its journal Economics Letters.
Volume (Year): 65 (1999)
Issue (Month): 3 (December)
Pages: 329-337
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Web page: http://www.elsevier.com/locate/ecolet
Related research
Keywords:References
References listed on IDEASPlease 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.:
- Watson, Mark W., 1989. "Recursive solution methods for dynamic linear rational expectations models," Journal of Econometrics, Elsevier, vol. 41(1), pages 65-89, May.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- 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 García-Hiernaux & José Casals & Miguel Jerez, 2012.
"Estimating the system order by subspace methods,"
Computational Statistics,
Springer, vol. 27(3), pages 411-425, September.
- 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.
- José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos del Instituto Complutense de Análisis Económico 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Alfredo García-Hiernaux, 2009. "Diagnostic checking using subspace methods," Documentos del Instituto Complutense de Análisis Económico 0901, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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