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  • Search: isPartOf:"Tinbergen Institute Discussion Paper 2021-020/III"
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Year of publication
Subject
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Correlation 1 Korrelation 1 State space model 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 Zustandsraummodell 1
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Free 1
Type of publication
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Book / Working Paper 1
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English 1
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Brakel, Jan A. van den 1 Koopman, Siem Jan 1 Palm, Franz C. 1 Schiavoni, Caterina 1 Smeekes, Stephan 1
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Tinbergen Institute Discussion Paper 2021-020/III 1
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ECONIS (ZBW) 1
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Time-varying state correlations in state space models and their estimation via indirect inference
Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021
Statistics Netherlands uses a state space model to estimate the Dutch unemployment by using monthly series about the labour force surveys (LFS). More accurate estimates of this variable can be obtained by including auxiliary information in the model, such as the univariate administrative series...
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