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Smoothing With An Unknown Initial Condition

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Listed:
  • Piet de Jong
  • Singfat Chu-Chun-Lin

Abstract

The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures. Copyright 2003 Blackwell Publishing Ltd.

Suggested Citation

  • Piet de Jong & Singfat Chu-Chun-Lin, 2003. "Smoothing With An Unknown Initial Condition," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 141-148, March.
  • Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:141-148
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    Citations

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    Cited by:

    1. Víctor Gómez & Félix Aparicio-Pérez, 2009. "A new state-space methodology to disaggregate multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 97-124, January.
    2. Gabriel RODRIGUEZ, 2010. "Estimating Output Gap, Core Inflation, And The Nairu For Peru, 1979-2007," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
    3. Rafael Doménech & Víctor Gómez, 2005. "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, vol. 29(2), pages 259-288, May.
    4. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    5. Rajesh Selukar, 2010. "Estimability of the linear effects in state space models with an unknown initial condition," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 167-168, May.
    6. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
    7. Rodríguez, Gabriel, 2009. "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers 2009-011, Banco Central de Reserva del Perú.
    8. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.

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