Recursive estimation in econometrics

DOI10.1016/S0167-9473(03)00150-6zbMath1429.62692MaRDI QIDQ956735

D. Stephen G. Pollock

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

initial-value problemKalman filteringfixed-interval smoothingrecursive regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (21)

Identification of linear stochastic models with covariance restrictions ⋮ Characterization of the oblique projector \(U(VU)^{\dagger}V\) with application to constrained least squares ⋮ Computationally efficient methods for estimating the updated-observations SUR models ⋮ Dropping variables versus use of proxy variables in linear regression ⋮ A recursive three-stage least squares method for large-scale systems of simultaneous equations ⋮ The hierarchical-likelihood approach to autoregressive stochastic volatility models ⋮ Some aspects of testing non-nested hypotheses ⋮ Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations ⋮ Second special issue on computational econometrics ⋮ 2nd special issue on matrix computations and statistics ⋮ Introduction to the special issue on statistical signal extraction and filtering ⋮ Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm ⋮ Decomposition of time series models in state-space form ⋮ Econometric methods of signal extraction ⋮ The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Convergence of Discount Time Series Dynamic Linear Models ⋮ Model combination in neural-based forecasting ⋮ On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting ⋮ On the concept of matrix derivative ⋮ Linear dynamic harmonic regression ⋮ Tensor products and matrix differential calculus

Uses Software

• AS 154

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Seasonal integration and cointegration
• Seasonal Adjustment by Signal Extraction
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Recursive estimation and time-series analysis. An introduction
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• The determination of the state covariance matrix of moving-average processes without computation
• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
• Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems
• Improved frequency selective filters
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• A new test for structural stability in the linear regression model
• Convergence analysis of recursive identification algorithms with forgetting factor
• The diffuse Kalman filter
• Testing for functional misspecification in regression analysis
• Theory and applications of selftuning regulators
• A synopsis of the smoothing formulae associated with the Kalman filter
• Tests for changes in models with a polynomial trend
• Self-tuning and stable adaptive control of a batch polymerization reactor
• Variable forgetting factors in parameter estimation
• Trend estimation and de-trending via rational square-wave filters
• A survey of data smoothing for linear and nonlinear dynamic systems
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Computational aspects of kalman filtering with a diffuse prior distribution^*
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• Smoothing and Interpolation with the State-Space Model
• A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
• On the Theory of Testing for Unit Roots in Observed Time Series
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• The likelihood for a state space model
• A cross-validation filter for time series models
• Testing for Structural Change in Dynamic Models
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• A geometrical derivation of the fixed interval smoothing algorithm
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Fast likelihood evaluation and prediction for nonstationary state space models
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Disturbance smoother for state space models
• Statistical algorithms for models in state space using SsfPack 2.2
• Time Series Regression with a Unit Root
• The generalized fluctuation test: A unifying view
• Testing for Unit Roots in Seasonal Time Series
• Evaluation of likelihood functions for Gaussian signals
• On the Use of Incomplete Prior Information in Regression Analysis
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• STABLE ALGORITHMS FOR THE STATE SPACE MODEL
• SOME THEOREMS IN LEAST SQUARES
• Recursive and rolling regression-based tests of the seasonal unit root hypothesis

This page was built for publication: Recursive estimation in econometrics