Recursive estimation in econometrics (Q956735)

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Language	Label	Description	Also known as
English	Recursive estimation in econometrics	scientific article

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scholarly article

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Recursive estimation in econometrics (English)

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zbMATH Open document ID

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10.1016/S0167-9473(03)00150-6

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Computational Statistics and Data Analysis

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publication date

26 November 2008

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

recursive regression

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Kalman filtering

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fixed-interval smoothing

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initial-value problem

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D. Stephen G. Pollock

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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A geometrical derivation of the fixed interval smoothing algorithm

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Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions

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A structured state space approach to computing the likelihood of an ARIMA process and its derivatives

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FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

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Theory and applications of selftuning regulators

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INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS

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On the Theory of Testing for Unit Roots in Observed Time Series

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Seasonal Adjustment by Signal Extraction

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Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems

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Decomposition of Seasonal Time Series: A Model for the Census X-11 Program

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The likelihood for a state space model

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A cross-validation filter for time series models

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Smoothing and Interpolation with the State-Space Model

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The diffuse Kalman filter

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STABLE ALGORITHMS FOR THE STATE SPACE MODEL

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Fast likelihood evaluation and prediction for nonstationary state space models

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SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Testing for Unit Roots in Seasonal Time Series

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The exact initial covariance matrix of the state vector of a general \(MA(q)\) process

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Exact maximum-likelihood estimation of autoregressive models via the Kalman filter

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Recursive stability analysis of linear regression relationships. An exploratory methodology

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Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis

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Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

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Testing for functional misspecification in regression analysis

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An ARIMA-Model-Based Approach to Seasonal Adjustment

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Seasonal integration and cointegration

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Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations

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Self-tuning and stable adaptive control of a batch polymerization reactor

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Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data

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A fast algorithm for signal extraction, influence and cross-validation in state space models

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Disturbance smoother for state space models

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Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models

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Statistical algorithms for models in state space using SsfPack 2.2

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Testing for Structural Change in Dynamic Models

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Tests for changes in models with a polynomial trend

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The generalized fluctuation test: A unifying view

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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?

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Convergence analysis of recursive identification algorithms with forgetting factor

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A survey of data smoothing for linear and nonlinear dynamic systems

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Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models

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A synopsis of the smoothing formulae associated with the Kalman filter

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The determination of the state covariance matrix of moving-average processes without computation

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Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes

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Time Series Regression with a Unit Root

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SOME THEOREMS IN LEAST SQUARES

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A new test for structural stability in the linear regression model

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Trend estimation and de-trending via rational square-wave filters

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Improved frequency selective filters

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Evaluation of likelihood functions for Gaussian signals

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Recursive and rolling regression-based tests of the seasonal unit root hypothesis

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Computational aspects of kalman filtering with a diffuse prior distribution<sup>*</sup>

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On the Use of Incomplete Prior Information in Regression Analysis

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Recursive estimation and time-series analysis. An introduction

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Variable forgetting factors in parameter estimation

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