Efficient Simulation and Integrated Likelihood Estimation in State Space Models

Joshua Chan and Ivan Jeliazkov (2009)
International Journal of Mathematical Modelling and Numerical Optimisation, 1, 101-120
[ Journal Version | Working Paper | Code ]

This code implements the precision sampler to estimate a time-varying parameter vector autoregression with constant volatility and an unobserved components model with stochastic volatility

The TVP-VAR application considers a 4-variable VAR: output (GDP) growth, unemployment rate, interest rate, and inflation. The unobserved components model example fits US CPI inflation.