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

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Year of publication:	2003
Authors:	Pollock, D. S. G.
Publisher:	[S.l.] : SSRN
Subject:	Ökonometrisches Modell \| Econometric model \| Regressionsanalyse \| Regression analysis \| Zustandsraummodell \| State space model \| Schätztheorie \| Estimation theory \| Ökonometrie \| Econometrics

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