Dynamic State-Space Models

Karapanagiotidis, Paul (2014): Dynamic State-Space Models.

Abstract

A review of the general state-space modeling framework. The discussion focuses heavily on the three prediction problems of forecasting, filtering, and smoothing within the state- space context. Numerous examples are provided detailing special cases of the state-space model and its use in solving a number of modeling issues. Independent sections are also devoted to both the topics of Factor models and Harvey’s Unobserved Components framework.

• Item Type: MPRA Paper
• Language: English
• Keywords: state-space models, signal extraction, unobserved components
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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