SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother
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- Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359, CPB Netherlands Bureau for Economic Policy Analysis.
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- Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359, CPB Netherlands Bureau for Economic Policy Analysis.
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More about this item
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2018-04-23 (Econometric Time Series)
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