A note on implementing the Durbin and Koopman simulation smoother

Marek Jarociński

No 1867, Working Paper Series from European Central Bank

Abstract: The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments). JEL Classification: C3, C15

Keywords: simulation smoother; state space model; trend output (search for similar items in EconPapers)
Date: 2015-11
Note: 400529
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: A note on implementing the Durbin and Koopman simulation smoother (2015)
Working Paper: A note on implementing the Durbin and Koopman simulation smoother (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20151867

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