R and C++ codes that can be used to replicate the empirical results obtained in the paper "Time-varying state correlations in state space models and their estimation via indirect inference" by Caterina Schiavoni, Siem Jan Koopman, Franz Palm, Stephan Smeekes and Jan van den Brakel.
state-space econometrics particle-filter kalman-filter cubic-splines nonlinear-models bootstrap-filter
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Updated
Apr 20, 2021 - R