A Beveridge-Nelson smoother
Year of publication: |
2000
|
---|---|
Authors: | Proietti, Tommaso ; Harvey, Andrew C. |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 67.2000, 2, p. 139-146
|
Subject: | Theorie | Theory | Zustandsraummodell | State space model | ARMA-Modell | ARMA model |
-
State space and ARMA models : an overview of the equivalence
Gilbert, Paul D., (1993)
-
Forecasting with unobserved components time series models
Harvey, Andrew C., (2006)
-
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano, (2011)
- More ...
-
Readings in unobserved components models
Harvey, Andrew C., (2005)
-
Readings in unobserved components models
Harvey, Andrew C., (2005)
-
On the probability of estimating a deterministic component in the local level model
Harvey, Andrew C., (1990)
- More ...