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I am recently studying state-space model in time series analysis. I feel not clear that the usesage of state-space model (SSM). I roughly know that if we use SSM, we could have some unobservables in the model. Besides this, what advantage would a SSM bring us? SSM is usually evaluated by Kalman filter to get likelihood function, this is super sophisticated for an economics student. So make it short, what advantage would SSM bring us instead of using traditional model such as VAR.

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