STATE TRANSITION SPECIFICATION IN STATE‐SPACE MODELS

Piet de Jong

Journal of Time Series Analysis, 1986, vol. 7, issue 3, 213-216

Abstract: Abstract. This note investigates an approach to state transition specification in statespace models. The approach generalizes the procedure whereby first or higher order differences in the state are modelled as white noise.

Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:7:y:1986:i:3:p:213-216

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