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

Exportieren

Exportieren

×

MLA

modern-language-association

APA

apa

Chicago

chicago-fullnote-bibliography

Harvard

harvard-cite-them-right

Vancouver

vancouver-author-date

---

RIS BibTex

Exportieren

×

Das Dokument kann nicht exportiert werden, da es zu einem anderen Portal gehört.

Volltext

lock_openDocta Complutense externo

DIALNET GOOGLE SCHOLAR lock_openDocta Complutense editor

Andere Publikationen in: Documentos de Trabajo (ICAE)

Zusammenfassung

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.

Fuente de los datos: Dialnet