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Measures of variance for smoothed disturbances in linear state-space models: a clarification

Allin Cottrell (), Riccardo (Jack) Lucchetti () and Matteo Pelagatti ()
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Allin Cottrell: Wake Forest University

No 3, gretl working papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: We clarify a point regarding the appropriate measure(s) of the variance of smoothed disturbances in the context of linear state-space models. This involves explaining how two different concepts, which are sometimes given the same name in the literature, relate to each other. We also describe the behavior of several common software packages is in this regard.

Keywords: State-space models; Disturbance smoother; Auxiliary residuals. (search for similar items in EconPapers)
JEL-codes: C32 C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cse, nep-ecm and nep-ets
Date: 2016-07-29
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