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
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 12 (1988)
Issue (Month): 1 (March)
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- 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
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- 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.
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