Úvod do moderních přístupů analýzy časových řad: Stavově prostorové modely a Kalmanův filtr

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
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DOI: 10.18267/j.polek.499

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