State Space Modeling in Macroeconomics and Finance Using S+FinMetrics∗
نویسندگان
چکیده
This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact ARMA models and calculation of the Beveridge-Nelson decomposition, unobserved components models, stochastic volatility models, and term structure models.
منابع مشابه
State Space Modeling in Macroeconomics and Finance Using SsfPack for S+FinMetrics
This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact autoregressive moving average models and calculation of the Beveridge-Nelson decomposition, unobserved...
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