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State-space models
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Estimation theory
272
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Perron, Pierre
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ECONIS (ZBW)
279
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1
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
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2
Repeated surveys and the Kalman filter
Lind, Jo Thori
- In:
The econometrics journal
8
(
2005
)
3
,
pp. 418-427
Persistent link: https://www.econbiz.de/10003209177
Saved in:
3
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
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4
Likelihood-based dynamic factor analysis for measurement and forecasting
Jungbacker, Borus
;
Koopman, Siem Jan
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011378457
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5
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun
;
Perron, Pierre
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
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6
Temporal disaggregation by state space methods : dynamics regression methods revisited
Proietti, Tommaso
- In:
The econometrics journal
9
(
2006
)
3
,
pp. 357-372
Persistent link: https://www.econbiz.de/10003390157
Saved in:
7
Temporal disaggregation using multivariate structural time series models
Moauro, Filippo
;
Savio, Giovanni
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 214-234
Persistent link: https://www.econbiz.de/10003018947
Saved in:
8
Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Meyer, Renate
;
Fournier, David A.
;
Berg, Andreas
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 408-420
Persistent link: https://www.econbiz.de/10001831283
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9
Signal extraction and the formulation of unobserved components models
Harvey, Andrew C.
;
Koopman, Siem Jan
- In:
The econometrics journal
3
(
2000
)
1
,
pp. 84-107
Persistent link: https://www.econbiz.de/10001532223
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10
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan
;
Shephard, Neil G.
;
Doornik, Jurgen A.
- In:
The econometrics journal
2
(
1999
)
1
,
pp. 107-160
Persistent link: https://www.econbiz.de/10001449270
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