Dynamic State-Space Models

A review of the general state-space modeling framework. The discussion focuses heavily on the three prediction problems of forecasting, filtering, and smoothing within the state- space context. Numerous examples are provided detailing special cases of the state-space model and its use in solving a number of modeling issues. Independent sections are also devoted to both the topics of Factor models and Harvey’s Unobserved Components framework.

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Year of publication:	2014-06-03
Authors:	Karapanagiotidis, Paul

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Karapanagiotidis, Paul (2014): Dynamic State-Space Models.
Classification:	C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58
Source:	BASE

Persistent link: https://www.econbiz.de/10015243026