A fast and stable method to compute the likelihood of state-space models with unit roots
- Casals Carro, José
- Sotoca López, Sonia
- Jerez Méndez, Miguel
ISSN: 2341-2356
Año de publicación: 1999
Número: 1
Páginas: 1-11
Tipo: Documento de Trabajo
Otras publicaciones en: Documentos de Trabajo (ICAE)
Resumen
We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations form. Afterwards we derive a procedure with similar properties that can be applied to any state-space model satisfying weak assumptions.