Master of Science in Economics

MACROECONOMETRICS

INTRODUCTION TO STATE SPACE MODELS

Tommaso Proietti

Teaching material

Exercises and extensions

» Exercises Set 1
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» Exercises Set 2
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Project

» Project
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Readings

» Morley, Nelson and Zivot (2003) WHY ARE THE BEVERIDGE-NELSON AND UNOBSERVED-COMPONENTS DECOMPOSITIONS OF GDP SO DIFFERENT?
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» Diebold et al. 2008 Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
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» Harvey and Jaeger (1993). Detrending, stylized facts and the business cycle. J Applied Econometrics
data inserimento: 2015-05-02 08:38:40

» Harvey and Koopman - Unobserved components models in economics and finance
data inserimento: 2016-04-20 17:44:43

» Hodrick and Prescott (1997). Postwar U.S. Business Cycles: An Empirical Investigation. J Money, Credit and Banking
data inserimento: 2015-05-02 08:40:07

» Proietti, T, Forecasting with Structural Time Series Models
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» Proietti, T, Luati A. Maximum likelihood estimation of time series models: the Kalman filter and beyond
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» State Space Models for Business Cycle Analysis
data inserimento: 2015-02-19 09:45:32

Slides

» 1. State space models and unobserved components
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» 2. Statistical treatment: Kalman filter, ML estimation, smoothing and signal extraction
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» 3. The Augmented Kalman Filter
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» 4. Models with Regime Switching
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» 5. Non linear and non Gaussian models
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Tutorials

» Tutorial 1
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» Tutorial 2
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» Tutorial 3
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» Tutorial 4
data inserimento: 2015-05-03 11:54:07