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Constraining Kalman Filter and Smoothing Estimates to Satisfy Time-Varying Restrictions

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  • Doran, Howard E

Abstract

It sometimes happens that the unobservable state vector of a linear dynamic model expressed in the state space is subject to known restrictions. Incorporation of this information into the Kalman filter procedure will increase the efficiency of estimation. It is shown that a simple augmentation of the measurement equation constrains the estimated state vector to obey the restrictions. The method applies whether the restrictions are time-invariant, time-varying, linear, or nonlinear. Copyright 1992 by MIT Press.

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  • 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.
  • Handle: RePEc:tpr:restat:v:74:y:1992:i:3:p:568-72
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    1. repec:eee:jimfin:v:81:y:2018:i:c:p:20-39 is not listed on IDEAS
    2. Tommaso Proietti & Alessandra Luati, 2013. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362 Edward Elgar Publishing.
    3. Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.
    4. Everaert, Gerdie & Iseringhausen, Martin, 2018. "Measuring the international dimension of output volatility," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 20-39.
    5. repec:sbe:breart:v:26:y:2006:i:1:a:2497 is not listed on IDEAS
    6. Doran, Howard E. & Rambaldi, Alicia N., 1997. "Applying linear time-varying constraints to econometric models: With an application to demand systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 83-95, July.
    7. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
    8. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    9. Pizzinga, Adrian, 2009. "Further investigation into restricted Kalman filtering," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 264-269, January.
    10. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1139-8 is not listed on IDEAS
    11. Danny Pfeffermann & Anna Sikov & Richard Tiller, 2014. "Single- and two-stage cross-sectional and time series benchmarking procedures for small area estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 631-666, December.
    12. Parise, Gerald F., 1994. "Permanent income hypothesis and the cost of adjustment," ISU General Staff Papers 1994010108000012303, Iowa State University, Department of Economics.
    13. D.S. Prasada Rao & Alicia N. Rambaldi & K. Renuka Ganegodage & L. T. Huynh & Howard E. Doran, 2017. "UQICD v2.1.2 User Guide," Discussion Papers Series 534, School of Economics, University of Queensland, Australia.
    14. Andrle, Michal, 2012. "Understanding DSGE Filters in Forecasting and Policy Analysis," Dynare Working Papers 16, CEPREMAP.
    15. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    16. Alicia N. Rambaldi & D.S. Prasada Rao & K. Renuka Ganegodage, 2009. "Spatial Autocorrelation and Extrapolation of Purchasing Power Parities. Modelling and Sensitivity Analysis," CEPA Working Papers Series WP012009, School of Economics, University of Queensland, Australia.
    17. Qian, Hang, 2015. "Inequality Constrained State Space Models," MPRA Paper 66447, University Library of Munich, Germany.
    18. Pizzinga, Adrian & Fernandes, Cristiano & Contreras, Sergio, 2008. "Restricted Kalman filtering revisited," Journal of Econometrics, Elsevier, vol. 144(2), pages 428-429, June.
    19. Laurent Bodson & Alain Coën & Georges Hübner, 2010. "Dynamic Hedge Fund Style Analysis With Errors-In-Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 201-221.

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