{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,20]],"date-time":"2026-05-20T05:38:26Z","timestamp":1779255506520,"version":"3.51.4"},"reference-count":43,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,8,15]],"date-time":"2021-08-15T00:00:00Z","timestamp":1628985600000},"content-version":"vor","delay-in-days":14,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100001732","name":"Danmarks Grundforskningsfond","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100001732","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2021,8]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting inflation. We present a feasible simulated maximum likelihood method for parameter estimation from a classical perspective. The method can also be used for evaluating the marginal likelihood function in a Bayesian analysis. We show that our simulation\u2010based method is computationally feasible, for both univariate and multivariate models. We assess the performance of the method in a Monte Carlo study. In an empirical study, we analyse U.S. headline inflation using different univariate and multivariate model specifications.<\/jats:p>","DOI":"10.1002\/jae.2831","type":"journal-article","created":{"date-parts":[[2021,6,7]],"date-time":"2021-06-07T15:14:42Z","timestamp":1623078882000},"page":"614-627","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Unobserved components with stochastic volatility: Simulation\u2010based estimation and signal extraction"],"prefix":"10.1002","volume":"36","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8807-7277","authenticated-orcid":false,"given":"Mengheng","family":"Li","sequence":"first","affiliation":[{"name":"UTS Business School University of Technology Sydney  Sydney New South Wales Australia"},{"name":"Centre for Applied Macroeconomic Analysis, Australian National University, Canberra, Australian Capital Territory  Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4440-9524","authenticated-orcid":false,"given":"Siem Jan","family":"Koopman","sequence":"additional","affiliation":[{"name":"Department of Econometrics and Data Science, School of Business and Economics Vrije Universiteit Amsterdam  Amsterdam The Netherlands"},{"name":"CREATES Aarhus University  Aarhus Denmark"},{"name":"Tinbergen Institute Amsterdam  Amsterdam The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2021,8,15]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2009.00736.x"},{"key":"e_1_2_9_3_1","unstructured":"Cecchetti S. G. Hooper P. Kashyap A. K. &Schoenholtz K. L.(2017).Deflating inflation expectations: The implications of inflation's simple dynamics. In U.S. Monetary Policy Forum."},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.05.003"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1052459"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12452"},{"key":"e_1_2_9_7_1","unstructured":"Chan J. C. Hou C. &Yang T. T.(2017).Asymptotic trimming for importance sampling estimators with infinite variance. Technical report."},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1504\/IJMMNO.2009.030090"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00246"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347397"},{"key":"e_1_2_9_11_1","volume-title":"Object\u2010Oriented Matrix Programming Using Ox","author":"Doornik J. A.","year":"2007"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-3437-9_1"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/84.3.669"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/89.3.603"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199641178.001.0001"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1019129717644"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913710"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.02.017"},{"key":"e_1_2_9_19_1","doi-asserted-by":"crossref","unstructured":"Gordon R. J.(1990).The Phillips curve now and then. Technical report National Bureau of Economic Research Inc","DOI":"10.3386\/w3393"},{"key":"e_1_2_9_20_1","volume-title":"Forecasting, structural time series models and the Kalman filter","author":"Harvey A. C.","year":"1989"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/09603107.2011.523169"},{"key":"e_1_2_9_22_1","first-page":"102","article-title":"A model of the Fed's view on inflation","author":"Hasenzagl T.","year":"2021","journal-title":"Review of Economics and Statistics"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.11.003"},{"key":"e_1_2_9_24_1","unstructured":"J\u00e4ckel P.(2005).A note on multivariate Gauss\u2013Hermite quadrature. (Technical report).https:\/\/jaeckel.org\/ANoteOnMultivariateGaussHermiteQuadrature.pdf"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1214\/14-STS511"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12105"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2019.1584901"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.652"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.925807"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.10.002"},{"key":"e_1_2_9_31_1","volume-title":"SsfPack 3.0: Statistical Algorithms for Models in State Space Form","author":"Koopman S. J.","year":"2008"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(02)00072-5"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.07.006"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00549"},{"key":"e_1_2_9_35_1","doi-asserted-by":"crossref","unstructured":"Mertens E. &Nason J. M.(2017).Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness Persistence and Volatility: Australian National University.","DOI":"10.2139\/ssrn.3042952"},{"key":"e_1_2_9_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1999.10474153"},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.02.007"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00016-5"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199683666.003.0010"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/84.3.653"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1998.10474116"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2007.00014.x"},{"key":"e_1_2_9_43_1","doi-asserted-by":"crossref","unstructured":"Stock J. H. &Watson M. W.(2008).Phillips Curve Inflation Forecasts: National Bureau of Economic Research.","DOI":"10.3386\/w14322"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00608"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2831","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2831","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2831","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T15:51:34Z","timestamp":1692978694000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2831"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,8]]},"references-count":43,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/jae.2831"],"URL":"https:\/\/doi.org\/10.1002\/jae.2831","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,8]]},"assertion":[{"value":"2018-03-01","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-11-02","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-15","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}