The flexible least squares approach to time-varying linear regression

DOI10.1016/0165-1889(88)90013-9MaRDI QIDQ1104002zbMATH OpenOpenAlexFDO

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

flexible least squares approachsimulation experimentstime-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
• 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
• scientific article; zbMATH DE number 3947439 (Why is no real title available?)
• Sequential nonlinear estimation with nonaugmented priors
• Time-varying linear regression via flexible least squares

Cited in

(5)

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

Describes a project that uses

Uses Software

• FLS

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