Time-varying linear regression via flexible least squares

DOI10.1016/0898-1221(89)90091-6zbMath0666.62065OpenAlexW2107600015MaRDI QIDQ1116593

Leigh Tesfatsion, Robert E. Kalaba

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(89)90091-6

zbMATH Keywords

flexible least squaresFORTRAN implementationvector-minimal sums of squared residual measurement

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (15)

Sequential nonlinear estimation with nonaugmented priors ⋮ A multicriteria approach to model specification and estimation ⋮ The flexible least squares approach to time-varying linear regression ⋮ Recent developments in the econometrics of structural change ⋮ Specification of varying coefficient time series models via generalized flexible least squares ⋮ Time-varying linear regression via flexible least squares ⋮ An organizing principle for dynamic estimation ⋮ Augmented flexible least squares algorithm for time‐varying parameter systems ⋮ U.S. money demand instability. A flexible least squares approach ⋮ A note on flexible least squares ⋮ A further note on flexible least squares and Kalman filtering ⋮ An omnibus noise filter ⋮ Control of complex nonlinear dynamic rational systems ⋮ Work by Robert Kalaba on multicriteria estimation ⋮ Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• U.S. money demand instability. A flexible least squares approach
• Sequential nonlinear estimation with nonaugmented priors
• Time-varying linear regression via flexible least squares
• A least-squares model specification test for a class of dynamic nonlinear economic models with systematically varying parameters
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• INVARIANT IMBEDDING AND THE REDUCTION OF TWO-POINT BOUNDARY VALUE PROBLEMS TO INITIAL VALUE PROBLEMS
• Using Least Squares to Approximate Unknown Regression Functions
• An exact sequential solution procedure for a class of discrete-time nonlinear estimation problems
• Partition Regression
• Estimation in the Presence of Stochastic Parameter Variation
• Some Algorithms for Linear Spline and Piecewise Multiple Linear Regression
• Two Methods for Examining the Stability of Regression Coefficients
• Forecasting and conditional projection using realistic prior distributions
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• Exact sequential filtering, smoothing and prediction for nonlinear systems

This page was built for publication: Time-varying linear regression via flexible least squares