Analytical uses of Kalman filtering in econometrics — A survey

DOI10.1007/BF02924508zbMath0637.62108MaRDI QIDQ3777293

Wolfgang Schneider

Publication date: 1988

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

surveyKalman filteringrecursive estimationtime varying coefficientseconometric modelsEM-methodstate space formulationasymptotic estimation theorygeneralization of exponential smoothingmaximum-likelihood estimation of state space parameterstime- dependent smoothing factor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Related Items

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

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