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Recursive Estimation in Econometrics

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Author Info
Stephen Pollock (Queen Mary, University of London)
Abstract

An 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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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp462.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 462.

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Date of creation: Jun 2002
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Handle: RePEc:qmw:qmwecw:wp462

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Related research
Keywords: 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

This paper has been announced in the following NEP Reports:

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