Analytical uses of Kalman filtering in econometrics — A survey

DOI10.1007/BF02924508zbMATH Open0637.62108MaRDI QIDQ3777293FDOQ3777293

Wolfgang Schneider

Publication date: 1988

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

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zbMATH Keywords

surveyrecursive estimationKalman filteringtime 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)

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Cited In (15)

• A Kalman filter model for single and two-stage repeated surveys
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing omitted variables in VARs
• Predicting incomplete observations in unbalanced panels: a Kalman filtering\,-\,smoothing ap\-proach
• Kalman filtering and sequential Bayesian analysis
• Title not available (Why is that?)
• On use of the Kalman filter for spatial smoothing
• Title not available (Why is that?)
• UD-Based Pairwise and MIMO Kalman-Like Filtering for Estimation of Econometric Model Structures
• Title not available (Why is that?)
• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• Hidden AR process and adaptive Kalman filter
• Present Position and Potential Developments: Some Personal Views: Time- Series Econometrics
• Kalman recursions aggregated online

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