Search Results - subject:"State space"

A new model of trend inflation using disaggregates, survey expectations, and uncertainty

Tallman, Ellis W.; Zaman, Saeed - 2026

Persistent link: https://www.econbiz.de/10015619060

Using subspace algorithms for the estimation of linear state space models for over-differenced processes

Bauer, Dietmar - In: Econometrics : open access journal 14 (2026) 1, pp. 1-15

dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi … corresponding to the state space system. In this technical study, we consider vector processes made stationary by applying …

Persistent link: https://www.econbiz.de/10015640549

A simple proof of Blackwell's theorem on the comparison of experiments for a general state space

Khan, M. Ali; Yu, Haomiao; Zhang, Zhixiang - In: Economics letters 247 (2025), pp. 1-4

Persistent link: https://www.econbiz.de/10015460153

Trend inflation and structural shocks

Fu, Bowen; Mendieta-Muñoz, Ivan - 2025

This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...

Persistent link: https://www.econbiz.de/10015195132

Introducing sspaneltvp : a code to estimating state-space time-varying parameter models in panels. an application to Okun's Law

Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 4, pp. 511-539

Persistent link: https://www.econbiz.de/10015461628

The structural Theta method and its predictive performance in the M4-Competition

Sbrana, Giacomo; Silvestrini, Andrea - In: International journal of forecasting 41 (2025) 3, pp. 940-952

Persistent link: https://www.econbiz.de/10015441512

A Hodrick–Prescott filter with automatically selected breaks

Marazano, Paolo; Pelagatti, Matteo - In: Economic modelling 150 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015441524

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 3, pp. 265-300

Persistent link: https://www.econbiz.de/10015438126

Affine feedforward stochastic (AFS) neural network

Gouriéroux, Christian; Monfort, Alain - 2025

Persistent link: https://www.econbiz.de/10015466943

Coupling LSTM neural networks and state-space models through analytically tractable inference

Vuong, Van-Dai; Nguyen, Luong-Ha; Goulet, James-A. - In: International journal of forecasting 41 (2025) 1, pp. 128-140

Persistent link: https://www.econbiz.de/10015440244