10-017/4 - Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

• Authors
  Charles S. Bos, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
• Publication date
  February 3, 2010

• Keywords
  Common stochastic variance, Kalman filter, State space model, unobserved components time series model
• JEL
  C22, C51, C53, E23