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Measures of variance for smoothed disturbances in linear state-space models: a clarification

Listed author(s):
  • Allin Cottrell

    ()

    (Wake Forest University)

  • Riccardo (Jack) Lucchetti

    ()

    (Universita' Politecnica delle Marche, Dipartimento di Scienze Economiche Sociali)

  • Matteo Pelagatti

    ()

    (Universita' di Milano - Bicocca)

We clarify a point regarding the appropriate measure(s) of the variance of smoothed disturbances in the context of linear state-space models. This involves explaining how two different concepts, which are sometimes given the same name in the literature, relate to each other. We also describe the behavior of several common software packages is in this regard.

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File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl003.pdf
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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series gretl working papers with number 3.

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Length: 13
Date of creation: 29 Jul 2016
Handle: RePEc:anc:wgretl:3
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  1. Pelagatti, Matteo M., 2011. "State Space Methods in Ox/SsfPack," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i03).
  2. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
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