A low dimensional Kalman filter for systems with lagged observables
AbstractThis note describes how the Kalman filter can be modified to allow for the vector of observables to be a function of lagged variables without increasing the dimension of the state vector in the filter. This is useful in applications where it is desirable to keep the dimension of the state vector low. The modified filter and accompanying code (which nests the standard filter) can be used to compute (i) the steady state Kalman filter (ii) the log likelihood of a parameterized state space model conditional on a history of observables (iii) a smoothed estimate of latent state variables and (iv) a draw from the distribution of latent states conditional on a history of observables.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1182.
Date of creation: Nov 2009
Date of revision:
Contact details of provider:
Web page: http://www.econ.upf.edu/
Kalman filter; lagged observables; Kalman smoother; simulation smoother;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-ECM-2009-11-27 (Econometrics)
- NEP-ETS-2009-11-27 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kristoffer Nimark, 2012.
"Speculative Dynamics in the Term Structure of Interest Rates,"
430, Barcelona Graduate School of Economics.
- Kristoffer Nimark, 2009. "Speculative dynamics in the term structure of interest rates," Economics Working Papers 1194, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2012.
- Leonardo Melosi, 2013.
"Signaling Effects of Monetary Policy,"
PIER Working Paper Archive
13-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.