The flexible least squares approach to time-varying linear regression

DOI10.1016/0165-1889(88)90013-9zbMATH Open0646.62061OpenAlexW2073570880MaRDI QIDQ1104002FDOQ1104002

Authors: Leigh Tesfatsion, R. E. Kalaba 

Publication date: 1988

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90013-9

zbMATH Keywords

simulation experimentsflexible least squares approachtime-varying linear regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• A FORTRAN program for time-varying linear regression via flexible least squares
• Title not available (Why is that?)
• 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
• An exact sequential solution procedure for a class of discrete-time nonlinear estimation problems

Cited In (5)

• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• A FORTRAN program for time-varying linear regression via flexible least squares
• A multicriteria approach to model specification and estimation
• A note on flexible least squares
• U.S. money demand instability. A flexible least squares approach

Uses Software

• FLS

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