The flexible least squares approach to time-varying linear regression
AbstractThis study proposes a Flexible Least Squares (FLS) method for state estimation when the dynamic equations are unknown but the process state evolves only slowly over time. A smoothness prior is introduced in place of an explicit specification for the unknown dynamic equations governing the evolution of the process state. Simulation experiments illustrating the method are presented. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 12 (1988)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc
Other versions of this item:
- Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- K. Triantafyllopoulos & G. Montana, 2011.
"Dynamic modeling of mean-reverting spreads for statistical arbitrage,"
Computational Management Science,
Springer, vol. 8(1), pages 23-49, April.
- Kostas Triantafyllopoulos & Giovanni Montana, 2008. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Papers 0808.1710, arXiv.org, revised May 2009.
- Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 1-21.
- Zsolt Darvas & Balázs Varga, 2014.
"Inflation persistence in central and eastern European countries,"
Taylor & Francis Journals, vol. 46(13), pages 1437-1448, May.
- Zsolt Darvas & Balazs Varga, 2013. "Inflation persistence in central and eastern European countries," IEHAS Discussion Papers 1327, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
- Zsolt Darvas & BalÃ¡zs Varga, 2013. "Inflation persistence in Central and Eastern European countries," Working Papers 787, Bruegel.
- Zsolt Darvas & Balázs Varga, 2013. "Inflation Persistence in Central and Eastern European Countries," Working Papers 1302, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest, revised Jul 2013.
- Zsolt Darvas & Balázs Varga, 2012. "Uncovering Time-Varying Parameters with the Kalman-Filter and the Flexible Least Squares: a Monte Carlo Study," Working Papers 1204, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- Ling He & Alan Reichert, 2003. "Time variation paths of factors affecting financial institutions and stock returns," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 71-86, March.
- Kalaba, Robert E. & Tesfatsion, Leigh S., 1996.
"A Multicriteria Approach to Model Specification and Estimation,"
Staff General Research Papers
1684, Iowa State University, Department of Economics.
- Kalaba, Robert & Tesfatsion, Leigh, 1996. "A multicriteria approach to model specification and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 21(2), pages 193-214, February.
- Robert Kalaba & Leigh Tesfatsion, 1995. "A Multicriteria Approach to Model Specification and Estimation," Econometrics 9501001, EconWPA.
- Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
- He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
- repec:iab:iabmit:v:31:i:1:p:108-122 is not listed on IDEAS
- Zsuzsanna Zsibók & Balázs Varga, 2012. "Inflation Persistence in Hungary: a Spatial Analysis," Working Papers 1203, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Pusse, Leo, 1998. "Export als Bestimmungsfaktor der Beschäftigung : ökonomische Analysen auf makroökonomischer Ebene (Export as a determinant of employment : econometric analyses at macroeconomic level)," Mitteilungen aus der Arbeitsmarkt- und Berufsforschung, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 31(1), pages 108-122.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.