A New Approach to Drawing States in State Space Models

William McCausland (), Shirley Miller () and Denis Pelletier
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Shirley Miller: Département de sciences économiques, Université de Montréal

No 14, Working Paper Series from North Carolina State University, Department of Economics

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 space models; Stochastic volatility; Count data (search for similar items in EconPapers)
JEL-codes: C11 C13 C15 C32 C63 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-08, Revised 2007-08
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: First draft 2007-08
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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:ncs:wpaper:014

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