Search Results - subject:"State–Space Models"

Estimating the smoothing parameter in the so-called Hodrick-Prescott filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...

Persistent link: https://www.econbiz.de/10010440442

Bayesian estimation of state space models using moment conditions

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10011918691

A class of non-Gaussian state space models with exact likelihood inference

Creal, Drew - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 585-597

Persistent link: https://www.econbiz.de/10011893816

Euromind-D : a density estimate of monthly gross domestic product for the Euro Area

Proietti, Tommaso; Marczak, Martyna; Mazzi, Gian Luigi - In: Journal of applied econometrics 32 (2017) 3, pp. 683-703

Persistent link: https://www.econbiz.de/10011694793

Short-term inflation forecasting : the M.E.T.A. approach

Sbrana, Giacomo; Silvestrini, Andrea; Venditti, Fabrizio - In: International journal of forecasting 33 (2017) 4, pp. 1065-1081

Persistent link: https://www.econbiz.de/10011746944

The hierarchical repeat sales model for granular commercial real estate and residential price indices

Francke, Marc K.; Minne, Alex van de - In: The journal of real estate finance and economics 55 (2017) 4, pp. 511-532

Persistent link: https://www.econbiz.de/10011800740

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - 2011

We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. We propose a general and …

Persistent link: https://www.econbiz.de/10010325813

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - Tinbergen Institute - 2011

We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. By combining existing …

Persistent link: https://www.econbiz.de/10008873337

New proposals for the quantification of qualitative survey data

Proietti, Tommaso; Frale, Cecilia - In: Journal of Forecasting 30 (2011) 4, pp. 393-408

HASH(0x1009bfd18)

Persistent link: https://www.econbiz.de/10009146880

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - Tinbergen Instituut - 2011

sampler for nonlinear non-Gaussian state space models. We propose a general and efficient likelihood evaluation method for …

Persistent link: https://www.econbiz.de/10011255569

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