13
A simple state space model of house prices
13.1
Introduction
13.2
A Statistical Model of House Prices
13.3
Estimation with Kalman Filter Techniques
13.4
The Data
13.5
Estimating and filtering in XploRe
13.5.1
Overview
13.5.2
Setting the system matrices
13.5.3
Kalman filter and maximized log likelihood
13.5.4
Diagnostic checking with standardized residuals
13.5.5
Calculating the Kalman smoother
13.6
Appendix
Bibliography