A fast and stable method to compute the likelihood of time invariant state-space models.

DOI10.1016/S0165-1765(99)00165-2zbMath1134.62362WikidataQ126400315 ScholiaQ126400315MaRDI QIDQ1606272

José Casals, Sonia Sotoca, Miguel Jerez

Publication date: 24 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Uses Software

• E4

Cites Work

• Unnamed Item
• Recursive solution methods for dynamic linear rational expectations models
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• Estimation of dynamic econometric models with errors in variables
• Factorization methods for discrete sequential estimation
• Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
• The likelihood for a state space model
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• General matrix pencil techniques for the solution of algebraic Riccati equations: a unified approach