A FORTRAN program for time-varying linear regression via flexible least squares

DOI10.1016/0167-9473(89)90029-7MaRDI QIDQ804198zbMATH OpenOpenAlexFDO

Authors Nima Rasakhoo, Leigh Tesfatsion, R. E. Kalaba

Publication date 1989

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(89)90029-7

zbMATH Keywords

flexible least squaresFORTRAN programsimulation experimentssmoothness priortime-seriestime-varying coefficients

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Suppose the prior theoretical beliefs concerning the generation of a time-series data set take two forms: a prior measurement specification that the data has been generated by a linear regression model; and a prior dynamic specification that the regression coefficients evolve only slowly over time, if at all. The objective is to understand the actual relationship between the observed data and the regressor variables. In particular, do the estimated regression coefficients display any systematic time-variation? Is time-constancy a reasonably satisfactory approximation? The ``flexible least squares solution is defined to be the collection of all coefficient sequences estimates which yield vector- minimal sums of squared residual measurement and dynamic modelling errors for the given observations - i.e. which attain the ``residual efficiency frontier. A user-friendly FORTRAN program (FLS) is now available for generating the frontier estimates.

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Cites work

• A FORTRAN program for time-varying linear regression via flexible least squares
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• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
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• The flexible least squares approach to time-varying linear regression
• Two Methods for Examining the Stability of Regression Coefficients
• U.S. money demand instability. A flexible least squares approach

Cited in

(10)

• Sequential nonlinear estimation with nonaugmented priors
• The flexible least squares approach to time-varying linear regression
• Time-varying linear regression via flexible least squares
• A multicriteria approach to model specification and estimation
• Specification of varying coefficient time series models via generalized flexible least squares
• FORTRAN Programs for Running the TR Test: A Guide and Examples
• FLS
• A FORTRAN program for time-varying linear regression via flexible least squares
• Work by Robert Kalaba on multicriteria estimation
• U.S. money demand instability. A flexible least squares approach

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