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

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  • Casals, Jose
  • Sotoca, Sonia
  • Jerez, Miguel

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  • Casals, Jose & Sotoca, Sonia & Jerez, Miguel, 1999. "A fast and stable method to compute the likelihood of time invariant state-space models," Economics Letters, Elsevier, vol. 65(3), pages 329-337, December.
    • Handle: RePEc:eee:ecolet:v:65:y:1999:i:3:p:329-337
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    References listed on IDEAS

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    1. Casals, Jose & Sotoca, Sonia, 1997. "Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs," Economics Letters, Elsevier, vol. 57(3), pages 261-267, December.
    2. Watson, Mark W., 1989. "Recursive solution methods for dynamic linear rational expectations models," Journal of Econometrics, Elsevier, vol. 41(1), pages 65-89, May.
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    Cited by:

    1. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
    2. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012. "Estimating the system order by subspace methods," Computational Statistics, Springer, vol. 27(3), pages 411-425, September.
    3. Casals, J. & García-Hiernaux, A. & Jerez, M., 2012. "From general state-space to VARMAX models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(5), pages 924-936.
    4. José Casals & Miguel Jerez & Sonia Sotoca, 2009. "Modelling and forecasting time series sampled at different frequencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 316-342.
    5. Alfredo García-Hiernaux, 2009. "Diagnostic checking using subspace methods," Documentos de Trabajo del ICAE 2009-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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