IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "A standard error for the estimated state vector of a state-space model"

by Hamilton, James D.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window

  1. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
  2. Hess Chung & Jean‐Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 47-82, 02.
  3. Schumacher, Christian, 2002. "Forecasting Trend Output in the Euro Area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(8), pages 543-558, December.
  4. Torabi, Mahmoud, 2013. "Likelihood inference in generalized linear mixed measurement error models," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 549-557.
  5. Thomas Laubach & John C. Williams, 2001. "Measuring the natural rate of interest," Finance and Economics Discussion Series 2001-56, Board of Governors of the Federal Reserve System (U.S.).
  6. Vos, A.F. & Steyn, I.J., 1990. "Stochastic nonlinearity : a firm basis for the flexible functional form," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  7. repec:spo:wpecon:info:hdl:2441/2005 is not listed on IDEAS
  8. Klaus Schmidt-Hebbel & Carl E. Walsh, 2009. "Monetary Policy And Key Unobservables: Evidence From Large Industrial And Selected Inflation-Targeting Countries," Working Papers Central Bank of Chile 527, Central Bank of Chile.
  9. Arabinda Basistha & Richard Startz, 2005. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Computing in Economics and Finance 2005 46, Society for Computational Economics.
  10. Torabi, Mahmoud & Lele, Subhash R. & Prasad, Narasimha G.N., 2015. "Likelihood inference for small area estimation using data cloning," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 158-171.
  11. Benati, Luca, 2007. "Drift and breaks in labor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
  12. Massimiliano Marcellino & Alberto Musso, 2010. "the Reliability of Real Time Estimates of the EURO Area Output Gap," Economics Working Papers ECO2010/06, European University Institute.
  13. repec:rwi:repape:0068 is not listed on IDEAS
  14. Torabi, Mahmoud & Shokoohi, Farhad, 2012. "Likelihood inference in small area estimation by combining time-series and cross-sectional data," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 213-221.
  15. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  16. Mésonnier, J-S. & Renne, J-P., 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers 115, Banque de France.
  17. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "La croissance européenne perturbée par un cycle de courte période," Économie et Statistique, Programme National Persée, vol. 359(1), pages 83-100.
  18. Tusell Palmer, Fernando Jorge, 2005. "Multiple imputation of time series: an application to the construction of historical price indexes," BILTOKI 2005-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  19. Odile Chagny & Matthieu Lemoine, 2004. "An estimation of the Euro Area potential output with a semi-structural multivariate Hodrick-Prescott filter," Sciences Po publications 2004-14, Sciences Po.
  20. Holtemöller, Oliver & Schmidt, Torsten, 2008. "Identifying Sources of Business Cycle Fluctuations in Germany 1975–1998," Ruhr Economic Papers 68, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  21. Odile Chagny & Matthieu Lemoine, 2003. "Écart de production dans la zone euro. Une estimation par le filtre de Hodrick-Prescott multivarié," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 173-202.
  22. Tommaso Proietti, 2008. "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper 109, Tor Vergata University, CEIS, revised 10 Jul 2008.
  23. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 253-278.
  24. De la Serve, M-E. & Lemoine, M., 2011. "Measuring the NAIRU: a complementary approach," Working papers 342, Banque de France.
  25. Ruiz, Esther & Rodríguez, Alejandro, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.
  26. repec:spo:wpecon:info:hdl:2441/2128 is not listed on IDEAS
  27. Kichian, Maral, 1999. "Measuring Potential Output within a State-Space Framework," Staff Working Papers 99-9, Bank of Canada.
  28. Xiaoshan Chen & Terence Mills, 2012. "Measuring the Euro area output gap using a multivariate unobserved components model containing phase shifts," Empirical Economics, Springer, vol. 43(2), pages 671-692, October.
  29. Beyer, Robert C. M. & Wieland, Volker, 2015. "Schätzung des mittelfristigen Gleichgewichtszinses in den Vereinigten Staaten, Deutschland und dem Euro-Raum mit der Laubach-Williams-Methode," Working Papers 03/2015, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
  30. Camba-Mendez, Gonzalo, 2012. "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, vol. 115(3), pages 376-378.
  31. Benati, Luca & Vitale, Giovanni, 2007. "Joint estimation of the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output," Working Paper Series 0797, European Central Bank.
  32. Eric Heyer & Frédéric Reynès & Henri Sterdyniak, 2004. "Variables observables et inobservables dans la théorie du taux de chômage d'équilibre : une comparaison France / Etats-Unis," Sciences Po publications N° 2004-03, Sciences Po.
  33. Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
  34. Radosław Cholewiński, 2009. "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(3), pages 261-284, November.
  35. Basistha, Arabinda & Kurov, Alexander, 2010. "Estimating earnings trend using unobserved components framework," Economics Letters, Elsevier, vol. 107(1), pages 55-57, April.
  36. Wu, Yangru, 1995. "Are there rational bubbles in foreign exchange markets? Evidence from an alternative test," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 27-46, February.
  37. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand.
  38. Erik Meijer & Arie Kapteyn & Tatiana Andreyeva, 2008. "Health Indexes and Retirement Modeling in International Comparisons," Working Papers 614, RAND Corporation.
  39. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  40. Delle Monache, & Ivan Petrella & Fabrizio Venditti, 2015. "Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation," Birkbeck Working Papers in Economics and Finance 1515, Birkbeck, Department of Economics, Mathematics & Statistics.
  41. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
  42. Matthieu LEMOINE & Odile CHAGNY, 2005. "Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter," Computing in Economics and Finance 2005 344, Society for Computational Economics.
  43. Marcellino, Massimiliano & Musso, Alberto, 2010. "Real time estimates of the euro area output gap: reliability and forecasting performance," Working Paper Series 1157, European Central Bank.
  44. repec:zbw:rwirep:0068 is not listed on IDEAS
  45. repec:spo:wpecon:info:hdl:2441/2135 is not listed on IDEAS
  46. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.).
  47. Philipp Wegmueller, 2015. "International Evidence on Time-Variation in Trend Labor Productivity Growth," Diskussionsschriften dp1602, Universitaet Bern, Departement Volkswirtschaft.
  48. Mandler, Martin, 2012. "Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 228-245.
  49. Kenneth N. Kuttner, 1992. "Monetary policy with uncertain estimates of potential output," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 2-15.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.