why estimate twice in DLM

Discussion of State Space and Dynamic Stochastic General Equilibrium Models
hardmann
Posts: 252
Joined: Sat Feb 26, 2011 9:49 pm

why estimate twice in DLM

Unread post by hardmann »

dear Tom:

I read codes of "an introduction to state space..." JFCC & SJK. In chart 3., UK data, I found the DLM estimate twice both in deterministic and stochastic models. The first estimate for @stampdiages with default option type=filter, the second estimate for level and irregular component with option type=smooth.
Why does not diagnostic test residue from rather smoothed state equation than filtered state equation?

hardmann
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: why estimate twice in DLM

Unread post by TomDoan »

Each model is estimated once. The second model has one DLM used to do the estimation of the component variances and another to do the smoothed states.

Diagnostics are done based upon Kalman filtering because, if the model is correct, the Kalman filter vhats are serially independent, and thus it's relatively easy to create diagnostics. The Kalman smoothing statistics aren't independent, and, in fact, have a very complicated covariance pattern.
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