Time-varying state correlations in state space models and their estimation via indirect inference

Caterina Schiavoni, Siem Jan Koopman, Franz Palm, Stephan Smeekes, Jan van den Brakel

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Paper Series

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title = "Time-varying state correlations in state space models and their estimation via indirect inference",

author = "Caterina Schiavoni and Koopman, {Siem Jan} and Franz Palm and Stephan Smeekes and {van den Brakel}, Jan",

year = "2021",

month = feb,

day = "24",

language = "English",

volume = "21-020/III",

series = "TI Discussion Paper Series",

publisher = "Tinbergen Institute",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}

TY - UNPB

T1 - Time-varying state correlations in state space models and their estimation via indirect inference

AU - Schiavoni, Caterina

AU - Koopman, Siem Jan

AU - Palm, Franz

AU - Smeekes, Stephan

AU - van den Brakel, Jan

PY - 2021/2/24

Y1 - 2021/2/24

M3 - Working paper

VL - 21-020/III

T3 - TI Discussion Paper Series

BT - Time-varying state correlations in state space models and their estimation via indirect inference

PB - Tinbergen Institute

ER -