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The flexible least squares approach to time-varying linear regression

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  • Kalaba, Robert
  • Tesfatsion, Leigh

Abstract

This 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://www2.econ.iastate.edu/tesfatsi/flshome.htm
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Suggested Citation

  • Kalaba, Robert & Tesfatsion, Leigh, 1988. "The flexible least squares approach to time-varying linear regression," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 43-48, March.
    • Handle: RePEc:eee:dyncon:v:12:y:1988:i:1:p:43-48
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    JEL classification:

    • 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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