State space models

  • Andrew Harvey
Chapter
Part of the The New Palgrave Economics Collection book series (NPHE)

Abstract

State space models is a rather loose term given to time series models, usually formulated in terms of unobserved components, that make use of the state space form for their statistical treatment.

Keywords

State Space Model Stochastic Volatility Signal Extraction State Space Form Dynamic Stochastic General Equilibrium 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 2010

Authors and Affiliations

  • Andrew Harvey

There are no affiliations available

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