Measures of variance for smoothed disturbances in linear state-space models: a clarification
Download full text from publisher
References listed on IDEAS
- 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.
- Pelagatti, Matteo M., 2011. "State Space Methods in Ox/SsfPack," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i03).
- 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)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anc:wgretl:3. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maurizio Mariotti). General contact details of provider: http://edirc.repec.org/data/deancit.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.