Número de control: DPD201520531944
Autor: García Hiernaux, Alfredo
Título: Fast estimation methods for time series models in state-space form
Publicación: Universidad Complutense: Instituto Complutense de Análisis Económico, 2005
Notas: 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.
Documentos de Trabajo ( ICAE ), ISSN 2341-2356, Nº. 4, 2005
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Registros relacionados: Documentos de Trabajo ( ICAE ), ISSN 2341-2356, Nº. 4, 2005
Tipo de impreso: text (article)
Otros autores: Jerez Méndez, Miguel
Casals, José
Números normalizados: (Revista) ISSN 2341-2356
Procedencia: DIALNET - Artículos
Tipo de publicación: Libros
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