Recursive Estimation in Econometrics
AbstractAn account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 462.
Date of creation: Jun 2002
Date of revision:
Recursive regression; Kalman filtering; Fixed-interval smoothing; The initial-value problem;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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