Understanding State-Space Models (An Inflation Example)
State-space models provide a powerful environment for modeling dynamic systems. Their flexibility has resulted in a wide variety of applications across fields including radar tracking, 3-D modeling, monetary policy modeling, weather forecasting, and more.
In this blog, we look more closely at state-space modeling using a simple time series model of inflation.
We cover:
- The components of state-space models.
- Representing state-space models in GAUSS.
- Estimating model parameters using state-space models.