A New Approach to Drawing States in State Space Models

William McCausland (), Shirley Miller and Denis Pelletier

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: We introduce a new method for drawing state variables in Gaussian state space models from their conditional distribution given parameters and observations. Unlike standard methods, our method does not involve Kalman filtering. We show that for some important cases, our method is computationally more efficient than standard methods in the literature. We consider two applications of our method.

Keywords: State sce models; Stochastic volatility; Count data (search for similar items in EconPapers)
Pages: 26 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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http://hdl.handle.net/1866/1485 (application/pdf)

Related works:
Working Paper: A New Approach to Drawing States in State Space Models (2007)
Working Paper: A New Approach to Drawing States in State Space Models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:2007-06

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