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02-113/4 - Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series


  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Charles S. Bos, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
  • Publication date
    November 12, 2002
  • Keywords
    Autoregressive integrated moving average; Importance sampling; Industrial production; Inflation; Kalman filer; Monte Carlo simulation; Simulation smoothing; State space; Stochastic volatility; Unobserved components time series.
  • JEL
    C15; C32; C51; E23; E31.