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Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints

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  • Joris de Wind

Abstract

In this paper, I present a novel implementation of the exact nonlinear and non-Gaussian Kalman smoother that can also deal with implicit functions in the measurement and/or state equations as well as equality constraints. Read the accompanying paper CPB Discussion Paper 360. My approach has the additional advantage that it can be fully automated, on the basis of which I have developed a toolbox that can handle a wide class of discrete-time state space models. The toolbox is documented in an accompanying paper, while the technical details are presented in the current one.

Suggested Citation

  • Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359, CPB Netherlands Bureau for Economic Policy Analysis.
    • Handle: RePEc:cpb:discus:359
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    File URL: https://www.cpb.nl/sites/default/files/omnidownload/CPB-Discussion-Paper-359-Exact-Nonlinear-and-Non-Gaussian-Kalman-Smoother.pdf
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    References listed on IDEAS

    as
    1. Juillard, Michel, 1996. "Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm," CEPREMAP Working Papers (Couverture Orange) 9602, CEPREMAP.
    2. Peter Hollinger, "undated". "The Stacked-Time Simulator in TROLL: A Robust Algorithm for Solving Forward-Looking Models," Computing in Economics and Finance 1996 _026, Society for Computational Economics.
    3. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360, CPB Netherlands Bureau for Economic Policy Analysis.
    4. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
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    Cited by:

    1. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360, CPB Netherlands Bureau for Economic Policy Analysis.

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    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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