Hi,
When estimating a sspace model, does the MLE routine use the one-step, filtered or smoothed states from the Kalman filter to evaluate the likelihood?
I am looking at this in the context of adding individual quarterly dummies into a signal equation.
When I do so, the one-step signal prediction residuals are non-zero, but the smoothed "disturbance" estimates appear to be zero.
This suggests to me that the MLE routine might be using the smoothed states.
I suspect that this is also why the filtered estimates of my states change over the dummied period (since the one-step prediction error is non-zero, the filter will update the state).
I am open to any other thoughts on knocking out information from a signal equation for a particular period.
Cheers,
-Alex
Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
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Re: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Likelihoods in state space models are all based on the prediction error decomposition, which uses the one-step ahead values as given in
https://www.eviews.com/help/helpintro.h ... round.html
If you want to knock out signal information for a period, just recode the dependent variable to have a missing in that period, and use the recoded value.
https://www.eviews.com/help/helpintro.h ... round.html
If you want to knock out signal information for a period, just recode the dependent variable to have a missing in that period, and use the recoded value.
Re: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Many thanks.
I had read that documentation but failed to note that the tilde definitions used in the likelihood were defined above as the one-step predictions.
Also thanks for the suggestion about replacing with missing values - that would not have occurred to me but is very simple!
I had read that documentation but failed to note that the tilde definitions used in the likelihood were defined above as the one-step predictions.
Also thanks for the suggestion about replacing with missing values - that would not have occurred to me but is very simple!
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