Hiernaux, Alfredo García; Carro, José Casals; Jerez, … - Facultad de Ciencias Económicas y Empresariales, … - 2005
We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final estimates when maximum-likelihood is considered...