Arbeitspapier
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part and the variance part of the model. Theestimation method is based on maximum likelihood and it requires thesubsequent uses of the Kalman filter to treat the mean part andsampling techniques to treat the variance part. This approach leads tothe evaluation of the exact likelihood function of the model subject tosimulation error. The standard asymptotic properties of maximumlikelihood estimators apply as a result. A Monte Carlo study is carriedout to investigate the small-sample properties of the estimationprocedure. We present two illustrations which are concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 02-113/4
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Macroeconomics: Production
Price Level; Inflation; Deflation
- Subject
-
Autoregressive integrated moving average
Importance sampling
Industrial production
Inflation
Kalman filer
Monte Carlo simulation
Simulation smoothing
State space
Stochastic volatility
Unobserved components time series.
Zeitreihenanalyse
Stochastischer Prozess
Volatilität
Monte-Carlo-Methode
Theorie
Zustandsraummodell
Autokorrelation
- Event
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Geistige Schöpfung
- (who)
-
Koopman, Siem Jan
Bos, Charles S.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Koopman, Siem Jan
- Bos, Charles S.
- Tinbergen Institute
Time of origin
- 2002
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