Linear prediction and estimation methods for regression models with stationary stochastic coefficients
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Publication:1156447
DOI10.1016/0304-4076(80)90001-9zbMATH Open0468.62098OpenAlexW2044983232MaRDI QIDQ1156447FDOQ1156447
Authors: P. A. V. B. Swamy, P. A. Tinsley 
Publication date: 1980
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(80)90001-9
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
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Cited In (23)
- Pooling. An experimental study of alternative testing and estimation procedures in a two-way error component model
- Indicator and filter attributes of monetary aggregates
- A note on global optimization in adaptive control, econometrics and macroeconomics.
- Stochastic volatility in interest rates and nonlinearity in velocity
- Introduction to the works of Rodney C. Wingrove: Engineering approaches to macroeconomic modeling
- Minding the gap: Central bank estimates of the unemployment natural rate
- Understanding the difference between robust control and optimal control in a linear discrete-time system with time-varying parameters
- Mitigation of the Lucas critique with stochastic control methods
- Specification tests for time-varying coefficient models
- Stochastic control for economic models: past, present and the paths ahead
- A classification system for economic stochastic control models
- Circumstances in which different criteria of estimation can be applied to estimate policy effects
- Adaptive control in the presence of time-varying parameters
- How better monetary statistics could have signaled the financial crisis
- An examination of distributed lag model coefficients estimated with smoothness priors
- A note on flexible least squares
- Best Quadratic Unbiased Prediction in a General Linear Model with Stochastic Regression Coefficients
- Decomposing social indicators using distributional data
- A random coefficient approach to seasonal adjustment of economic time series
- A random coefficient model of speculative attacks: The case of the Mexican peso
- A comparison of estimators for undersized samples
- The state of econometrics after John W. Pratt, Robert Schlaifer, Brian Skyrms, and Robert L. Basmann
- Response predictions in regressions on panel data
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