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