State-Space and Distributed Lag Modelling of Dynamic Economic Processes Based on Singular Value: Decompositions with an Application to the Dutch Economy

Pieter W. Otter and René Van Dal

Annals of Economics and Statistics, 1987, issue 6-7, 253-277

Abstract: In this paper concepts and techniques from system theory will be used to obtain state-space (Markovian) models of dynamic economic processes instead of the usual ARMA-models. In this respect the concept of state will be reviewed and also Hankel factorisation, Hankel norm approximation and balanced realizations for stochastic models. The suggested procedures, which includes singular value decompositions, steady-state Kalman filtering and prediction-error estimation will be applied to some behavioral equations of a small macro-economic model representing the Dutch economy.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.jstor.org/stable/20075656 (text/html)

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: https://EconPapers.repec.org/RePEc:adr:anecst:y:1987:i:6-7:p:253-277

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().