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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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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
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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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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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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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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
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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
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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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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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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