A fast and stable method to compute the likelihood of time invariant state-space models

Authors
Casals, J Sotoca, S Jerez, M
Citation
J. Casals et al., A fast and stable method to compute the likelihood of time invariant state-space models, ECON LETT, 65(3), 1999, pp. 329-337
Citations number
10
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
3
Year of publication
1999
Pages
329 - 337
Database
ISI
SICI code
0165-1765(199912)65:3<329:AFASMT>2.0.ZU;2-5
Abstract
We propose two fast and stable methods to compute the likelihood of time in variant state-space models. The first one exploits the properties of the Ka lman filter when applied to steady-state innovations models. The second pro cedure allows for more general structures. (C) 1999 Elsevier Science S.A. A ll rights reserved.