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Applying linear time-varying constraints to econometric models: With an application to demand systems

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Listed author(s):
  • Doran, Howard E.
  • Rambaldi, Alicia N.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(97)00008-0
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 79 (1997)
Issue (Month): 1 (July)
Pages: 83-95

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Handle: RePEc:eee:econom:v:79:y:1997:i:1:p:83-95
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Murray, Jane, 1984. "Retail Demand for Meat in Australia: A Utility Theory Approach," The Economic Record, The Economic Society of Australia, vol. 60(168), pages 45-56, March.
  2. Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737.
  3. Lau, Lawrence J., 1978. "Applications of Profit Functions," Histoy of Economic Thought Chapters,in: Fuss, Melvyn & McFadden, Daniel (ed.), Production Economics: A Dual Approach to Theory and Applications, volume 1, chapter 3 McMaster University Archive for the History of Economic Thought.
  4. Diewert, W. E., 1973. "Functional forms for profit and transformation functions," Journal of Economic Theory, Elsevier, vol. 6(3), pages 284-316, June.
  5. Doran, Howard E, 1992. "Constraining Kalman Filter and Smoothing Estimates to Satisfy Time-Varying Restrictions," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 568-572, August.
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Cited by:

  1. William A. Barnett & Isaac Kalonda Kanyama, 2013. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4169-4183, October.
  2. Mazzocchi, Mario, 2006. "Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2191-2205, May.
  3. Christopher J. O'Donnell & Alicia N. Rambaldi & Howard E. Doran, 2001. "Estimating economic relationships subject to firm- and time-varying equality and inequality constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 709-726.
  4. Helmi Hamdi, 2013. "Testing export-led growth in Tunisia and Morocco: New evidence using the Toda and Yamamoto procedure," Economics Bulletin, AccessEcon, vol. 33(1), pages 677-686.
  5. O'Donnell, Christopher J., 2000. "Estimating The Characteristics Of Homogeneous Functionsusing Flexible Functional Forms," 2000 Conference (44th), January 23-25, 2000, Sydney, Australia 123713, Australian Agricultural and Resource Economics Society.
  6. Christopher Parmeter & Kai Sun & Daniel Henderson & Subal Kumbhakar, 2014. "Estimation and inference under economic restrictions," Journal of Productivity Analysis, Springer, vol. 41(1), pages 111-129, February.
  7. William A. Barnett & Isaac Kalonda Kanyama, 2013. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4169-4183, October.
  8. Pizzinga, Adrian, 2009. "Further investigation into restricted Kalman filtering," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 264-269, January.
  9. Helmi Hamdi & Rashid Sbia & Bedri Kamil Onur Tas, 2014. "Financial Deepening and Economic Growth in Gulf Cooperation Council Countries," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 459-473, September.
  10. Li, Gang & Song, Haiyan & Witt, Stephen F., 2006. "Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting," International Journal of Forecasting, Elsevier, vol. 22(1), pages 57-71.
  11. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.
  12. Helmi Hamdi & Rashid Sbia, 2013. "The relationship between natural resources rents, trade openness and economic growth in Algeria," Economics Bulletin, AccessEcon, vol. 33(2), pages 1649-1659.
  13. Kai Sun, 2015. "Constrained nonparametric estimation of input distance function," Journal of Productivity Analysis, Springer, vol. 43(1), pages 85-97, February.
  14. Dr Alicia Rambaldi & Dr Chris O'Donnell & Howard E.Doran, 2003. "Imposing Observation-Varying Equality Constraints Using Generalised Restricted Least Squares," Discussion Papers Series 323, School of Economics, University of Queensland, Australia.
  15. Pizzinga, Adrian & Fernandes, Cristiano & Contreras, Sergio, 2008. "Restricted Kalman filtering revisited," Journal of Econometrics, Elsevier, vol. 144(2), pages 428-429, June.
  16. A. Peyrache & A. N. Rambaldi, 2012. "A State-Space Stochastic Frontier Panel Data Model," CEPA Working Papers Series WP012012, School of Economics, University of Queensland, Australia.
  17. Gao, Lei & Mei, Bin, 2013. "Investor attention and abnormal performance of timberland investments in the United States," Forest Policy and Economics, Elsevier, vol. 28(C), pages 60-65.

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