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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.

Suggested Citation

  • Thomas F. Cooley & Kent D. Wall, 1976. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," NBER Working Papers 0128, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:0128

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    References listed on IDEAS

    1. Pagan, Adrian R, 1975. "A Note on the Extraction of Components from Time Series," Econometrica, Econometric Society, vol. 43(1), pages 163-168, January.
    2. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-184, January.
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    Cited by:

    1. James B. Bullard, 1994. "Measures of money and the quantity theory," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 19-30.

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