Estimating Time-Dependent Means in Dynamic Models for Cross-sections of Time Series.

This paper considers a dynamic extension of the classical error components model based on the ideas of structural time series models. The study concentrates on the mean square error estimation of time-dependent means by using the Kalman filter, and on the relative efficiency of these estimators as a function of both the number of observations across units and time.

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Year of publication:	1992
Authors:	Marshall, Pablo
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 17.1992, 1, p. 25-33
Publisher:	Department of Economics and Finance Research and Teaching

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005166600