Latent variables analysis in structural models: a new decomposition of the Kalman smoother

DOI10.1016/j.jedc.2021.104097zbMath1475.91176OpenAlexW3108357278MaRDI QIDQ2246651

Matthias Paustian, Cristina Fuentes-Albero, Hess Chung, Damjan Pfajfar

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.federalreserve.gov/econres/feds/files/2020100pap.pdf

zbMATH Keywords

latent variablesdata decompositionKalman smootherdouble decompositionshock decomposition

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Dynamic stochastic general equilibrium theory (91B51)

Related Items (1)

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Cites Work

• A simple and efficient simulation smoother for state space time series analysis

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