Measures of variance for smoothed disturbances in linear state-space models: a clarification
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References listed on IDEAS
- Pelagatti, Matteo M., 2011. "State Space Methods in Ox/SsfPack," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i03).
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
Oxford University Press,
edition 2, number 9780199641178.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Lucchetti, Riccardo, 2011. "State Space Methods in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i11).
More about this item
KeywordsState-space models; Disturbance smoother; Auxiliary residuals.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-08-07 (All new papers)
- NEP-CSE-2016-08-07 (Economics of Strategic Management)
- NEP-ECM-2016-08-07 (Econometrics)
- NEP-ETS-2016-08-07 (Econometric Time Series)
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