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Measures of variance for smoothed disturbances in linear state-space models: a clarification

Author

Listed:
  • Allin Cottrell

    (Wake Forest University)

  • Riccardo (Jack) Lucchetti

    (Universita' Politecnica delle Marche, Dipartimento di Scienze Economiche Sociali)

  • Matteo Pelagatti

    (Universita' di Milano - Bicocca)

Abstract

We clarify a point regarding the appropriate measure(s) of the variance of smoothed disturbances in the context of linear state-space models. This involves explaining how two different concepts, which are sometimes given the same name in the literature, relate to each other. We also describe the behavior of several common software packages is in this regard.

Suggested Citation

  • Allin Cottrell & Riccardo (Jack) Lucchetti & Matteo Pelagatti, 2016. "Measures of variance for smoothed disturbances in linear state-space models: a clarification," gretl working papers 3, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wgretl:3
    as

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    File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl003.pdf
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    References listed on IDEAS

    as
    1. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    2. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    3. Pelagatti, Matteo M., 2011. "State Space Methods in Ox/SsfPack," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i03).
    4. Petris, Giovanni & Petrone, Sonia, 2011. "State Space Models in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i04).
    5. Lucchetti, Riccardo, 2011. "State Space Methods in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i11).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    State-space models; Disturbance smoother; Auxiliary residuals.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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