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Time-Varying Linear Regression Via Flexible Least Squares

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Author Info
Kalaba, R.
Tesfatsion, Leigh S.

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Abstract

This article develops a multicriteria "flexible least squares (FLS)" method for time-varying linear regression. The basic FLS objective is to determine the "residual efficiency frontier," that is, the set of all coefficient trajectory estimates that yield vector-minimal sums of squared residual measurement and dynamic errors conditional on a given set of observations. The FLS algorithm was incorporated into the statistical packages GAUSS/TSM and SHAZAM in 1997. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm

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Publisher Info
Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 11196.

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Date of creation: 11 Jan 2004
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Publication status: Published in Computers and Mathematics with Applications, 1989, Vol. 17, No. 8/9, pp. 1215-1245.
Handle: RePEc:isu:genres:11196

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Related research
Keywords: Time-varying linear regression; Flexible Least Squares (FLS); GAUSS/TSM; SHAZAM;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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  2. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA. [Downloadable!]
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  4. Poray, Michael C. & Foster, Kenneth A. & Dorfman, Jeffery H., 2000. "Measuring An Almost Ideal Demand System With Generalized Flexible Least Squares," 2000 Annual meeting, July 30-August 2, Tampa, FL 21796, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  5. Carlos A. Arango A. & Martha Misas A. & Juan Nicolás Hernández, . "La Demanda de Especies Monetarias en Colombia: Estructura y Pronóstico," Borradores de Economia 309, Banco de la Republica de Colombia. [Downloadable!]
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  7. Kim, Man-Keun & Lee, Andrew, 2005. "Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply," 2005 Annual meeting, July 24-27, Providence, RI 19124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  8. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
  9. José Luis Torres, . "Modelos Para La Inflación Básica de Bienes Transables y No Transables en Colombia," Borradores de Economia 365, Banco de la Republica de Colombia. [Downloadable!]
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  10. Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006. "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA 21181, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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