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Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations

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Author Info
Tanizaki, Hisashi
Mariano, Roberto S.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 83 (1998)
Issue (Month): 1-2 ()
Pages: 263-290
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Handle: RePEc:eee:econom:v:83:y:1998:i:1-2:p:263-290

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Web page: http://www.elsevier.com/locate/jeconom

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  2. TOKOVENKO, Oleksiy & Gunter, Lewell F., 2008. "Quarterly Storage Model of U.S. Cotton Market: Estimation of the Basis under Rational Expectations," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6435, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  3. J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics. [Downloadable!]
  4. Tomohiro Ando, 2008. "Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(4), pages 763-780, December. [Downloadable!] (restricted)
  5. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute. [Downloadable!]
  6. J. Huston McCulloch & Prasad V. Bidarkota, 2002. "Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 02-04, Ohio State University, Department of Economics. [Downloadable!]
  7. Prasad Bidarkota, 2003. "Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers," Working Papers 0307, Florida International University, Department of Economics. [Downloadable!]
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