Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method

DOI10.1016/0898-1221(92)90183-IzbMATH Open0756.62046MaRDI QIDQ1202452FDOQ1202452

Authors: Wolfgang Schneider 

Publication date: 11 February 1993

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

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zbMATH Keywords

maximum likelihood estimationKalman filteringsimulation studyMINQUEscoringtime varying coefficientshyperparametersEM-methodadaptive method of variance component estimationseemingly unrelated regression equationssingle equation model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

Cites Work

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• On the convergence properties of the EM algorithm
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• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Factorization methods for discrete sequential estimation
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• Estimation of variance and covariance components—MINQUE theory
• Square-root algorithms for least-squares estimation
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• Some identification and estimation results for regression models with stochastically varying coefficients
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• Adaptive Filtering
• Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
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• Analytical uses of Kalman filtering in econometrics — A survey

Cited In (2)

• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Parameter estimation methods of required rate of return on stock

Uses Software

• astsa

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