Fast estimation methods for time series models in state-space form
We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final estimates when maximum-likelihood is considered inadequate or costly. The state-space foundation of these procedures implies that they can estimate any linear fixed-coefficients model, such as ARIMA, VARMAX or structural time series models. The computational and finitesample performance of both methods is very good, as a simulation exercise shows.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Phone: 913942604|
Web page: https://www.ucm.es/icaeEmail:
More information through EDIRC
|Order Information:|| Postal: Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)|
Web: https://www.ucm.es/fundamentos-analisis-economico2/documentos-de-trabajo-del-icae Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- D.S. Poskitt, .
"Specification of echelon form VARMA models,"
Statistic und Oekonometrie
9305, Humboldt Universitaet Berlin.
- Casals, Jose & Sotoca, Sonia & Jerez, Miguel, 1999. "A fast and stable method to compute the likelihood of time invariant state-space models," Economics Letters, Elsevier, vol. 65(3), pages 329-337, December.
- Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994.
"Multivariate Stochastic Variance Models,"
Review of Economic Studies,
Wiley Blackwell, vol. 61(2), pages 247-64, April.
- Tom Doan, . "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:ucm:doicae:0504. 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: (Águeda González Abad)
If references are entirely missing, you can add them using this form.