The Flexible Least Squares Approach to Time-Varying Linear Regression

This study proposes a Flexible Least Squares (FLS) method for state estimation when the dynamic equations are unknown but the process state evolves only slowly over time. A smoothness prior is introduced in place of an explicit specification for the unknown dynamic equations governing the evolution of the process state. Simulation experiments illustrating the method are presented. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm