Applying linear time-varying constraints to econometric models: With an application to demand systems

DOI10.1016/S0304-4076(97)00008-0zbMath0873.62128OpenAlexW1973342905MaRDI QIDQ1362058

Howard E. Doran, Alicia N. Rambaldi

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00008-0

zbMATH Keywords

Kalman filterstate-space modellinear equality constraintsdemand analysisrestricted least squaresestimation of econometric modelslinear time-varying constraintsnumerical optimisation routines

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Consumer behavior, demand theory (91B42)

Related Items (7)

Restricted Kalman filtering revisited ⋮ Diffuse Kalman filtering with linear constraints on the state parameters ⋮ An algorithm to estimate time-varying parameter SURE models under different types of restriction ⋮ Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm ⋮ Further investigation into restricted Kalman filtering ⋮ Some results on linear equality constrained state filtering ⋮ Diffuse Restricted Kalman Filtering

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