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Introduction to time series modeling: State space models and Kalman filter

This contribution undertakes to outline the state space models and the recursive technique called the Kalman filter to a wider audience of the Czech economics readers. One can find both terms in a whole range of empirical studies from recent years. Following this approach also allows us among other things to model unobservable variables such as the potential output or the natural rate of unemployment. The primary motivation of this article is to bring a basic introduction to the reader who does not deal with the time series analysis on an everyday basis and to sketch the roots of state space models and the Kalman filter. Those who are interested can find more proper and rigorous description in the original literature.
Year of publication:
2005
Authors: Slavík, Michal
Published in:
Politická ekonomie. - Vysoká Škola Ekonomická v Praze, ISSN 0032-3233. - Vol. 2005.2005, 1
Publisher: Vysoká Škola Ekonomická v Praze
Subject: econometric modeling | state space models | Kalman filter
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Type of publication: Article
Classification: C13 - Estimation ; C32 - Time-Series Models ; C50 - Econometric Modeling. General ; E17 - Forecasting and Simulation
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