A note on implementing the Durbin and Koopman simulation smoother

Jarocinski, Marek (2014): A note on implementing the Durbin and Koopman simulation smoother.

Abstract

The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).

• Item Type: MPRA Paper
• Language: English
• Keywords: state space model; simulation smoother; trend output
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: 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

References

Durbin, J. and Koopman, S. J. (2002). A simple and e�cient simulation smoother for state space time series analysis. Biometrika, 89(3):603-615.

Durbin, J. and Koopman, S. J. (2012). Time Series Analysis by State Space Methods: Second Edition. Oxford Statistical Science Series. OUP Oxford.

Watson, M. W. (1986). Univariate detrending methods with stochastic trends. Journal of Monetary Economics, 18(1):49-75.