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A note on implementing the Durbin and Koopman simulation smoother

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  • Jarociński, Marek

Abstract

The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments). JEL Classification: C3, C15

Suggested Citation

  • Jarociński, Marek, 2015. "A note on implementing the Durbin and Koopman simulation smoother," Working Paper Series 1867, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20151867
    Note: 400529
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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1867.en.pdf
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    References listed on IDEAS

    as
    1. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    2. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    3. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    simulation smoother; state space model; trend output;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • 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

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