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A Fortran Program for Time-Varying Linear Regression Via Flexible Least Squares

Author

Listed:
  • Kalaba, Robert E.
  • Rasakhoo, N.
  • Tesfatsion, Leigh S.

Abstract

A Fortran implementation for the "Flexible Least Squares" (FLS) method for time-varying linear regression (FLS-TVLR) is discussed. The latest Fortran implementation for FLS-TVLR, along with tutorials and research publications, can be accessed here: http://www2.econ.iastate.edu/tesfatsi/flshome.htm

Suggested Citation

  • Kalaba, Robert E. & Rasakhoo, N. & Tesfatsion, Leigh S., 1989. "A Fortran Program for Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers Archive 11195, Iowa State University, Department of Economics.
  • Handle: RePEc:isu:genres:11195
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    Cited by:

    1. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
    2. repec:eee:joecas:v:10:y:2013:i:2:p:101-114 is not listed on IDEAS
    3. Baxa, Jaromír & Plašil, Miroslav & Vašíček, Bořek, 2015. "Changes in inflation dynamics under inflation targeting? Evidence from Central European countries," Economic Modelling, Elsevier, vol. 44(C), pages 116-130.
    4. Zsuzsanna Zsibók & Balázs Varga, 2012. "Inflation Persistence in Hungary: a Spatial Analysis," Working Papers 1203, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
    5. Kalaba, Robert & Tesfatsion, Leigh, 1996. "A multicriteria approach to model specification and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 21(2), pages 193-214, February.
    6. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    7. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    8. He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
    9. Zsolt Darvas & Balázs Varga, 2012. "Uncovering Time-Varying Parameters with the Kalman-Filter and the Flexible Least Squares: a Monte Carlo Study," Working Papers 1204, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
    10. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
    11. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    12. Josipa VIŠIC & Blanka ŠKRABIC, "undated". "Determinants of Incoming Cross-Border M&A: Evidence from European Transition Economies," EcoMod2010 259600168, EcoMod.
    13. Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
    14. Naveen Srinivasan, 2014. "Testing the Expectations Trap Hypothesis: A Time-Varying Parameter Approach," Working Papers 2014-089, Madras School of Economics,Chennai,India.
    15. Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
    16. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
    17. A. Talha Yalta, 2016. "Bootstrap Inference of Level Relationships in the Presence of Serially Correlated Errors: A Large Scale Simulation Study and an Application in Energy Demand," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 339-366, August.
    18. repec:arp:ijwpds:2016:p:90-93 is not listed on IDEAS
    19. He, Ling T., 2001. "Time variation paths of international transmission of stock volatility -- US vs. Hong Kong and South Korea," Global Finance Journal, Elsevier, vol. 12(1), pages 79-93.

    More about this item

    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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