The Statistical Theory of Linear Systems.

  title={The Statistical Theory of Linear Systems.},
  author={Chris Chatfield and E. J. Hannan and Manfred Deistler},
  journal={The Statistician},
Small Sample Properties of Likelihood Ratio Tests in Linear State Space Models: An Application to DSGE Model Validation
This paper considers the problem of hypothesis testing in linear Gaussian state space models. We consider two hypotheses of interest: a simple null and a hypothesis of explicit parameter
The exact Gaussian likelihood estimation of time-dependent VARMA models
Estimation of Continuous-Time ARMA Models and Random Matrices with Dependent Entries
Several aspects of the statistical analysis of linear processes are investigated. For equidistantly observed multivariate Levy-driven continuous-time autoregressive moving average (CARMA) processes
Business Cycle Analysis and VARMA models ∗-Job Market Paper -
An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have suggested
Beveridge-Nelson Decomposition with Markov Switching
In this paper, we consider the introduction of Markov-switching (MS) processes to both the permanent and transitory components of the Beveridge-Nelson (BN) decomposition. This new class of MS models
On the structure of state space systems with unit roots
Minimality of the state space representation of a stochastic process places restrictions on the rank of certain matrices that show up in the leading coecient of the principal part of the MA transfer
Maximum likelihood estimation of time series models: the Kalman filter and beyond
The objective of this chapter is reviewing this algorithm and discussing maximum likelihood inference, starting from the linear Gaussian case and discussing the extensions to a nonlinear and non Gaussian framework.