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.