Application of filtering methods in econometrics

DOI10.1080/00207728008967089MaRDI QIDQ3895372zbMATH OpenOpenAlexFDO

Authors Alexis Lazaridis

Publication date 1980

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728008967089

zbMATH Keywords

bayesian estimateseconometricsKalman filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Cites work

• scientific article; zbMATH DE number 3456627 (Why is no real title available?)
• scientific article; zbMATH DE number 3492382 (Why is no real title available?)
• scientific article; zbMATH DE number 3082021 (Why is no real title available?)
• Note on the Asymptotic Standard Errors of Latent Roots of Econometric Equation Systems
• Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency
• The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model

Cited in

(1)

• Kalman type filter for models with stochastic regressors and applications to econometric models

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