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- W2083044900 abstract "An instrumental variable interpretation of Aoki's (1987, 1990) state space time series estimators is utilized to provide an intuitively appealing improved estimator that is asymptotically efficient within its class. While the analysis shows the new estimator to be more efficient, the gain in efficiency is a complicated function of many variables. To investigate the magnitude of the efficiency gain, data following several representative processes were generated and the estimators' effects on in- and out-of-sample predictions were compared, showing marked improvement. In addition, the new estimator was applied to Canadian macroeconomic data, and again the forecast summary statistics were improved. The estimator can also be applied to other state space procedures, such as those due to Akaike or Rao." @default.
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- W2083044900 date "1996-05-01" @default.
- W2083044900 modified "2023-10-16" @default.
- W2083044900 title "Improved estimates of the parameters of state space time series models" @default.
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- W2083044900 doi "https://doi.org/10.1016/0165-1889(95)00874-8" @default.
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