diff --git a/doc/dynare.texi b/doc/dynare.texi index 493e9a6a827501e9919916f43cb06f6050a7d0aa..f1605eb34d53605b96489dea9068b2229cb9766b 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -4920,7 +4920,7 @@ Use the Univariate Diffuse Kalman Filter @end table @noindent -Default value is @code{0}. +Default value is @code{0}. In case of missing observations of single or all series, Dynare treats those missing values as unobserved states and uses the Kalman filter to infer their value (see e.g. @cite{Durbin and Koopman (2012), Ch. 4.10}) @item kalman_tol = @var{DOUBLE} @@ -4954,7 +4954,7 @@ decomposition of the above k-step ahead filtered values. @item diffuse_filter Uses the diffuse Kalman filter (as described in -@cite{Durbin and Koopman (2001)} and @cite{Koopman and Durbin +@cite{Durbin and Koopman (2012)} and @cite{Koopman and Durbin (2003)}) to estimate models with non-stationary observed variables. When @code{diffuse_filter} is used the @code{lik_init} option of @@ -11029,8 +11029,8 @@ Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1), 31--55 @item -Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State -Space Methods}, Oxford University Press +Durbin, J. and S. J. Koopman (2012), @i{Time Series Analysis by State +Space Methods}, Second Revised Edition, Oxford University Press @item Fair, Ray and John Taylor (1983): ``Solution and Maximum Likelihood