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State-Space Model and Maximum Likelihood Estimation

  • Felix Geiger
Chapter
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 654)

Abstract

This appendix introduces the statistical state-space model. It describes the tools that are employed for the estimation of various term structure models (see for subsequent work Harvey, 1990; Hamilton, 1994; Gourieroux and Monfort, 1997; Lemke, 2006).

Keywords

Mean Square Error Kalman Filter Posteriori Estimate Unobservable State Term Structure Model 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.Department of Economics Chair of Economic PolicyUniversity of HohenheimStuttgartGermany

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