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Heij, C., Kloek, T. and Lucas, A. (1992). Positivity conditions for stochastic state space modelling of time series Econometric Reviews, 11(3):379--396.

  • Journal
    Econometric Reviews
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This short paper clarifies some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so—called positive real condition for stochastic processes. We illustrate this by theoretical spectral analysis and also by simulating univariate ARMA (1,1) models.