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21-020/III - Time-varying state correlations in state space models and their estimation via indirect inference


  • Authors
    Caterina Schiavoni, Maastricht University; Siem Jan Koopman, Vrije Universiteit Amsterdam; Franz Palm, Maastricht University; Stephan Smeekes, Maastricht University; Jan van den Brakel, Maastricht University
  • Publication date
    February 24, 2021
  • Keywords
    bootstrap filter, cubic splines, indirect inference, nonlinear state space, time-varying parameter, unemployment
  • JEL
    J64, C22, C32