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Fast estimation methods for time series models in state-space form


Hiernaux, Alfredo G. y Casals Carro, José y Jerez Méndez, Miguel (2005) Fast estimation methods for time series models in state-space form. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0504, 2005, ]

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We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration,
or to provide final estimates when maximum-likelihood is considered inadequate or costly. The state-space foundation of these procedures implies that they can estimate any linear fixed-coefficients model, such as ARIMA, VARMAX or structural time series models. The computational and finitesample performance of both methods is very good, as a simulation exercise shows.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:State-space models, Subspace methods, Kalman Filter, System identification
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:7881

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Depositado:05 May 2008
Última Modificación:06 Feb 2014 07:56

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