We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...

We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...