Applying linear time-varying constraints to econometric models: With an application to demand systems

DOI10.1016/S0304-4076(97)00008-0zbMATH Open0873.62128OpenAlexW1973342905MaRDI QIDQ1362058FDOQ1362058

Authors: Howard E. Doran, Alicia N. Rambaldi 

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00008-0

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zbMATH Keywords

Kalman filterstate-space modeldemand analysislinear equality constraintsrestricted least squaresestimation of econometric modelslinear time-varying constraintsnumerical optimisation routines

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Consumer behavior, demand theory (91B42)

Cites Work

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Cited In (12)

• Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
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• Modelling \& controlling monetary and economic identities with constrained state space models
• Constrained Kalman filtering: additional results
• An algorithm to estimate time-varying parameter SURE models under different types of restriction
• Restricted Kalman filtering revisited
• On constrained estimation problems in time-use surveys
• Further investigation into restricted Kalman filtering
• Some results on linear equality constrained state filtering
• Diffuse Kalman filtering with linear constraints on the state parameters
• Diffuse Restricted Kalman Filtering
• Restricted VaR forecasts of economic time series with contemporaneous constraints

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