A note on implementing the Durbin and Koopman simulation smoother

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).

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Year of publication:	2015
Authors:	Jarociński, Marek
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	simulation smoother \| state space model \| trend output

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Series:	ECB Working Paper ; 1867
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-92-899-1680-6
Other identifiers:	10.2866/516204 [DOI] 856479837 [GVK] hdl:10419/154300 [Handle] RePEc:ecb:ecbwps:20151867 [RePEc]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011605912