Introduction to time series modeling: State space models and Kalman filter

Michal Slavík

Politická ekonomie, 2005, vol. 2005, issue 1

Abstract: This contribution undertakes to outline the state space models and the recursive technique called the Kalman filter to a wider audience of the Czech economics readers. One can find both terms in a whole range of empirical studies from recent years. Following this approach also allows us among other things to model unobservable variables such as the potential output or the natural rate of unemployment. The primary motivation of this article is to bring a basic introduction to the reader who does not deal with the time series analysis on an everyday basis and to sketch the roots of state space models and the Kalman filter. Those who are interested can find more proper and rigorous description in the original literature.

Keywords: econometric modeling; state space models; Kalman filter (search for similar items in EconPapers)
JEL-codes: C13 C32 C50 E17 (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.vse.cz/polek/abstrakt.php?IDcl=499 (text/html)
free of charge, full text delayed 1 year

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:prg:jnlpol:v:2005:y:2005:i:1:id:499

Ordering information: This journal article can be ordered from
Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
http://www.vse.cz/polek/

Access Statistics for this article

Politická ekonomie is edited by Martin Mandel

More articles in Politická ekonomie from University of Economics, Prague
Contact information at EDIRC.
Series data maintained by Vaclav Subrta ().