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

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D'autres publications dans: Documentos de Trabajo (ICAE)

Résumé

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.

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