Structural Time Series Models and the Kalman Filter: a concise review

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Structural Time Series Models and the Kalman Filter: a concise review

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Jalles, Joao Tovar

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Joao Tovar Jalles

Abstract

The continued increase in availability of economic data in recent years and, more impor- tantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci?cations we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman ?lter algorithm is described taking into account its di¤erent stages, from initialisation to parameter?s estimation. JEL codes: C10, C22, C32

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Paper provided by Universidade Nova de Lisboa, Faculdade de Economia in its series FEUNL Working Paper Series with number wp541.

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Length: 30 pages
Date of creation: 2009
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Handle: RePEc:unl:unlfep:wp541

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This paper has been announced in the following NEP Reports:

NEP-ALL-2009-10-24 (All new papers)
NEP-ECM-2009-10-24 (Econometrics)
NEP-ETS-2009-10-24 (Econometric Time Series)

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Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
Andrew C Harvey & Andrew Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers dp0184, Centre for Economic Performance, LSE.
Other versions:
- Harvey, Andrew & Scott, Andrew, 1994. "Seasonality in Dynamic Regression Models," Economic Journal, Royal Economic Society, vol. 104(427), pages 1324-45, November. [Downloadable!] (restricted)
Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.
Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February. [Downloadable!] (restricted)

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