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Improved estimates of the parameters of state space time series models

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  • Havenner, Arthur
  • Zhiqiang Leng

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  • Havenner, Arthur & Zhiqiang Leng, 1996. "Improved estimates of the parameters of state space time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 767-789, May.
    • Handle: RePEc:eee:dyncon:v:20:y:1996:i:5:p:767-789
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    References listed on IDEAS

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    1. Masanao Aoki, 1991. "Two Complementary Representations of Multiple Time Series in State Space Innovation Forms," UCLA Economics Working Papers 628, UCLA Department of Economics.
    2. Havenner, Arthur & Aoki, Masanao, 1988. "An instrumental variables interpretation of linear systems theory estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 49-54, March.
    3. Aoki, Masanao & Havenner, Arthur, 1989. "A method for approximate representation of vector-valued time series and its relation to two alternatives," Journal of Econometrics, Elsevier, vol. 42(2), pages 181-199, October.
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    Cited by:

    1. Donald S. Allen & Meenakshi Pasupathy, 1997. "A state space forecasting model with fiscal and monetary control," Working Papers 1997-017, Federal Reserve Bank of St. Louis.

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