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

DOI10.1016/S0304-4076(97)00008-0MaRDI QIDQ1362058zbMATH OpenOpenAlexFDO

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

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)

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• Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
• Restricted Kalman filtering revisited
• An algorithm to estimate time-varying parameter SURE models under different types of restriction
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