A fast and stable method to compute the likelihood of state-space models with unit roots

  1. Casals Carro, José
  2. Sotoca López, Sonia
  3. Jerez Méndez, Miguel
Revista:
Documentos de Trabajo (ICAE)

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.