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.
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.
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
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Economics Series Working Papers
1998-W06, University of Oxford, Department of Economics.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Diebold, Francis X., 1986. "Exact maximum-likelihood estimation of autoregressive models via the Kalman filter," Economics Letters, Elsevier, vol. 22(2-3), pages 197-201.
- Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
- Diebold, Francis X., 1986. "The exact initial covariance matrix of the state vector of a general MA(q) process," Economics Letters, Elsevier, vol. 22(1), pages 27-31.
- Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
- Pollock, D. S. G., 2001. "Methodology for trend estimation," Economic Modelling, Elsevier, vol. 18(1), pages 75-96, January.
- Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
- Pollock, D.S.G., 2000.
"Filters for Short Nonstationary Sequences,"
00a04, Universite Aix-Marseille III.
- Pollock, D. S. G., 2003. "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 279-297, March.
- Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary, University of London, School of Economics and Finance.
- Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006.
"Learning about the Term Structure and Optimal Rules for Inflation Targeting,"
2006-88, Tilburg University, Center for Economic Research.
- Mewael F. Tesfaselassie & Eric Schaling & Sylvester Eijffinger, 2011. "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1685-1706, December.
- Eijffinger, Sylvester C W & Schaling, Eric & Tesfaselassie, Mewael F., 2006. "Learning About the Term Structure and Optimal Rules for Inflation Targeting," CEPR Discussion Papers 5896, C.E.P.R. Discussion Papers.
- Mewael F. Tesfaselassie & Eric Schaling & Sylvester Eijffinger, 2007. "Learning About the Term Structure and Optimal Rules for Inflation Targeting," Working Papers 62, Economic Research Southern Africa.
- Tesfaselassie, M.F., 2005. "Communication, Learning and Optimal Monetary Policy," Open Access publications from Tilburg University urn:nbn:nl:ui:12-173210, Tilburg University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nick Vriend).
If references are entirely missing, you can add them using this form.