A New Approach to Drawing States in State Space Models

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A New Approach to Drawing States in State Space Models

Author Info

McCAUSLAND, William J.
MILLER, Shirley
PELLETIER, Denis

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Abstract

We introduce a new method for drawing state variables in Gaussian state space models from their conditional distribution given parameters and observations. Unlike standard methods, our method does not involve Kalman filtering. We show that for some important cases, our method is computationally more efficient than standard methods in the literature. We consider two applications of our method.

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 2007-06.

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Length: 26 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:mtl:montde:2007-06

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Paper
- William J. McCausland & Shirley Miller & Denis Pelletier, 2007. "A New Approach to Drawing States in State Space Models," Working Paper Series 014, North Carolina State University, Department of Economics, revised Aug 2007. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-02-16 (All new papers)
NEP-ECM-2008-02-16 (Econometrics)
NEP-ETS-2008-02-16 (Econometric Time Series)

References listed on IDEAS
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.:

Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
Other versions:
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA. [Downloadable!]

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This page was last updated on 2009-11-1.

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