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Two Complementary Representations of Multiple Time Series in State Space Innovation Forms

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  • Masanao Aoki

    (UCLA)

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  • Masanao Aoki, 1991. "Two Complementary Representations of Multiple Time Series in State Space Innovation Forms," UCLA Economics Working Papers 628, UCLA Department of Economics.
    • Handle: RePEc:cla:uclawp:628
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    File URL: http://www.econ.ucla.edu/workingpapers/wp628.pdf
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    References listed on IDEAS

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    1. R. H. Shumway & D. S. Stoffer, 1982. "An Approach To Time Series Smoothing And Forecasting Using The Em Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(4), pages 253-264, July.
    2. Jeffrey H. Dorfman & Arthur Havenner, 1991. "State-Space Modeling of Cyclical Supply, Seasonal Demand, and Agricultural Inventories," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(3), pages 829-840.
    3. Havenner, Arthur & Aoki, Masanao, 1988. "An instrumental variables interpretation of linear systems theory estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 49-54, March.
    4. Cerchi, Marlene & Havenner, Arthur, 1988. "Cointegration and stock prices : The random walk on wall street revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 333-346.
    5. Keith R. Criddle & Arthur M. Havenner, 1989. "Forecasting Halibut Biomass Using System Theoretic Time-Series Methods," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 422-431.
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    Cited by:

    1. Havenner, Arthur & Zhiqiang Leng, 1996. "Improved estimates of the parameters of state space time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 767-789, May.

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