Recursive Estimation in Econometrics

An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.

MoreLess

Year of publication:	2002-06
Authors:	Pollock, Stephen
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Recursive regression \| Kalman filtering \| Fixed-interval smoothing \| The initial-value problem

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 462
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005101770