Tommaso, Proietti and Alessandra, Luati (2012): Maximum likelihood estimation of time series models: the Kalman filter and beyond.
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The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, which are characterized by a simple temporal dependence structure, typically a first order Markov process.
The states have sometimes substantial interpretation. Key estimation problems in economics concern latent variables, such as the output gap, potential output, the non-accelerating-inflation rate of unemployment, or NAIRU, core inflation, and so forth. Time-varying volatility, which is quintessential to finance, is an important feature also in macroeconomics. In the multivariate framework relevant features can be common to different series, meaning that the driving forces of a particular feature and/or the transmission mechanism are the same.
The objective of this chapter is reviewing this algorithm and discussing maximum likelihood inference, starting from the linear Gaussian case and discussing the extensions to a nonlinear and non Gaussian framework.
|Item Type:||MPRA Paper|
|Original Title:||Maximum likelihood estimation of time series models: the Kalman filter and beyond|
|Keywords:||Time series models; Unobserved components;|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Tommaso Proietti|
|Date Deposited:||22. Jun 2012 10:31|
|Last Modified:||14. Feb 2013 12:55|
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