scientific article; zbMATH DE number 3709465

MaRDI QIDQ3900875zbMATH OpenFDO

Authors G. D. A. Phillips, Andrew C. Harvey

Publication date 1979

zbMATH Keywords

autoregressive-moving average disturbancesdiagnostic checkingforecastinggeneralized least squaresGram-Schmidt orthogonalizationKalman filtermaximum likelihood estimation of regression modelsprediction errorrecursive residual

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(29)

• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
• Some identification and estimation results for regression models with stochastically varying coefficients
• Subset regression time series and its modeling procedures
• Estimation in a linear model with serially correlated errors when observations are missing
• Analytic derivatives for estimation of linear dynamic models
• On the Kalman filter with possibly degenerate and correlated errors
• Finite mixture modeling of Gaussian regression time series with application to dendrochronology
• Improved maximum likelihood estimation of ARMA models
• Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones
• Analytical uses of Kalman filtering in econometrics — A survey
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Shrinkage estimation for linear regression with ARMA errors
• Stochastic filtering methods in electronic trading
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Predictability, real time estimation, and the formulation of unobserved components models
• The exact likelihood for a state space model with stochastic inputs
• Diffuse Kalman filtering with linear constraints on the state parameters
• Can we estimate macroforecasters' mis-behavior?
• A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances
• Introducing \textit{sspaneltvp}: a code to estimating state-space time-varying parameter models in panels. An application to Okun's law
• A bootstrap-enhanced Fisher scoring algorithm for parameter estimation in state-space models
• Pruned skewed Kalman filter and smoother with application to DSGE models
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• The ARMA model in state space form
• State space modeling of time series: A review essay
• A note on flexible least squares

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