A note on implementing the Durbin and Koopman simulation smoother

Marek Jarociński

MPRA Paper from University Library of Munich, Germany

Abstract: The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).

Keywords: state space model; simulation smoother; trend output (search for similar items in EconPapers)
JEL-codes: C15 C32 (search for similar items in EconPapers)
Date: 2014-10-24
New Economics Papers: this item is included in nep-ecm and nep-ets
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https://mpra.ub.uni-muenchen.de/59466/1/MPRA_paper_59466.pdf original version (application/pdf)

Related works:
Journal Article: A note on implementing the Durbin and Koopman simulation smoother (2015)
Working Paper: A note on implementing the Durbin and Koopman simulation smoother (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59466

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