Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154300
Authors: 
Jarociński, Marek
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1867
Abstract: 
The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments).
Subjects: 
simulation smoother
state space model
trend output
JEL: 
C3
C15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1680-6
Document Type: 
Working Paper

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