Updated A.Y. 2016-2017


  • Linear filter
  • State-space form
  • Kalman filter and Smoother 
  • Some economic examples


  • Maximum likelihood
  • Bayesian estimation

Economic examples

  •   Bayesian VAR
  •   Time Varying Parameters VAR
  •    Large VAR


Durbin, J., and Koopman, S.J. (2001), Time Series Analysis by State Space Methods, Oxford University Press, Oxford, UK.
Harvey, A.C. (1989), Forecasting, Structural Time Series and the Kalman Filter, Cambridge University Press, Cambridge, UK.
West, M., and Harrison, J. (1997), Bayesian Forecasting and Dynamic Models, 2nd ed., Springer-Verlag, New York.
Kim, C.J., and Nelson, C. R. (1999),  State-Space Models with Regime-Switching. Cambridge MA: MIT Press.
Shumway, R.H., and Stoffer, D.S. (2000), Time Series Analysis and Its Applications, Springer-Verlag, New York.
Cappé, O., Moulines, E., and Rydén, T. (2005). Inference in hidden markov models. Springer Series in Statistics. Springer, New York.
Fruehwirth-Schnatter, S. (2006). Finite Mixture and Markov Switching Models.Springer Series in Statistics. Springer, New York.
Hamilton, J. (1994). Time Series Analysis. Princeton University Press.
Proietti, T. (2008). Structural Time Series Models for Business Cycle Analysis. In the Handbook of Econometrics: Vol. 2, Applied Econometrics, Part 3.4., ed. T. Mills and K. Patterson, Palgrave, London.