23-065/III - Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

• Authors
  Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Gabriele Mingoli, Vrije Universiteit Amsterdam
• Publication date
  October 12, 2023

• Keywords
  observation-driven filter, non-stationary time-series, mixed causal non-causal models
• JEL
  C22, C51, C53