Search

Content Types

Topics

JEL Codes

Locations

Departments

Authors

Sources

Published After

Published Before

1 Result

GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

Staff Working Paper 2000-2 Maral Kichian
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89