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A Note on Optimal Smoothing for Time Varying Coefficient Problems

  • Thomas F. Cooley
  • Kent D. Wall

An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.

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File URL: http://www.nber.org/papers/w0128.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0128.

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Date of creation: Mar 1976
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Publication status: published as Cooley, Thomas F. and Wall, Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems." Annals of Economic and Social Measurement, Vol. 6, No. 4, pp. 453-456, 1977.
Handle: RePEc:nbr:nberwo:0128
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  1. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
  2. Pagan, Adrian R, 1975. "A Note on the Extraction of Components from Time Series," Econometrica, Econometric Society, vol. 43(1), pages 163-68, January.
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