The exact likelihood for a state space model with stochastic inputs

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Keywords: Exact maximum likelihood; Initial conditions; Kalman filter; State space model; Unit roots

Document Type: Research Article


Affiliations: Departamento de Fundamentos del Analisis Economico II Economia Cuantitativa) Facultad de C. Economicas y Empresariales, Universidad Complutense Campus de Somosaguas, 28223 , Madrid, Spain

Publication date: July 1, 2001

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