Efficient estimation of conditionally linear and Gaussian state space models

Guilherme V. Moura*, Douglas Eduardo Turatti

*Corresponding author

Research output: Contribution to journalJournal articleResearchpeer-review

2 Citations (Scopus)
Original languageEnglish
JournalEconomics Letters
Volume124
Issue number3
Pages (from-to)494-499
Number of pages6
ISSN0165-1765
DOIs
Publication statusPublished - 3 Sep 2014

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State-space model
Efficient estimation
Inflation forecasts
Approximation
Simulated maximum likelihood
Unobserved components
Efficient importance sampling
Maximum likelihood estimation
Stochastic volatility model
Inflation
G-7 countries

Keywords

  • Efficient importance sampling
  • Inflation forecasting
  • Nonlinear state-space models
  • Rao-Blackwellization

Cite this

@article{5938d4053f7949609755d8d69958e63b,
title = "Efficient estimation of conditionally linear and Gaussian state space models",
keywords = "Efficient importance sampling, Inflation forecasting, Nonlinear state-space models, Rao-Blackwellization",
author = "Moura, {Guilherme V.} and Turatti, {Douglas Eduardo}",
year = "2014",
month = "9",
day = "3",
doi = "10.1016/j.econlet.2014.07.019",
language = "English",
volume = "124",
pages = "494--499",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "3",

}

Efficient estimation of conditionally linear and Gaussian state space models. / Moura, Guilherme V.; Turatti, Douglas Eduardo.

In: Economics Letters, Vol. 124, No. 3, 03.09.2014, p. 494-499.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Efficient estimation of conditionally linear and Gaussian state space models

AU - Moura, Guilherme V.

AU - Turatti, Douglas Eduardo

PY - 2014/9/3

Y1 - 2014/9/3

KW - Efficient importance sampling

KW - Inflation forecasting

KW - Nonlinear state-space models

KW - Rao-Blackwellization

UR - http://www.scopus.com/inward/record.url?scp=84940266004&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2014.07.019

DO - 10.1016/j.econlet.2014.07.019

M3 - Journal article

AN - SCOPUS:84940266004

VL - 124

SP - 494

EP - 499

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 3

ER -