结构经济序列分析的状态空间方法

本文讨论结构经济时间序列用状态空间模型进行分解处理的方法．在§１中综述结构时间序列的状态空间描述．§２中着重论述了将处理不完全数据的ＥＭ－算法应用于状态空间模型参数的极大似然估计．在§３中给出采用本文所述方法对一些我国宏观经济序列的计算实例．

State Space Method for Structural Economic Time Series

A economic time series model can be decomposed directly in terms of the components of trend, seasonal, cycle and irregular, Each component is cha- racterized by unknown variance-white noise perturbed difference equation of AR model constraints. The constraints are expressed in state space model form. Kalman filter is used to compute maximum likelihood and estimate parameter. In our paper, indirect maximization of the likelihoop function via the EM algorithm is substituted for direct maximization of likelihood function via Newton algorithm, etc. Exmaples of economic time series in our country are given.