Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099104 | Journal of Economic Dynamics and Control | 2009 | 13 Pages |
Abstract
Algorithms are presented for computing mean square errors in a misspecified unobserved components model when the true model is known. It is assumed that both the true and misspecified models can be put in linear state space form. The algorithm for filtering is based on the Kalman filter while that for smoothing modifies the fixed-point smoother. Illustrations include the efficiency of the Hodrick-Prescott filter for annual flow data and the mean square error of predictions for misspecified models from the autoregressive integrated moving average class.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Andrew C. Harvey, Davide Delle Monache,