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

simulation experimentstime-varying coefficientstime-seriesFORTRAN programsmoothness priorflexible least squares

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• A FORTRAN program for time-varying linear regression via flexible least squares
• Estimation in the Presence of Stochastic Parameter Variation
• Exact sequential filtering, smoothing and prediction for nonlinear systems
• Partition Regression
• Sequential nonlinear estimation with nonaugmented priors
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Some Algorithms for Linear Spline and Piecewise Multiple Linear Regression
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• 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)

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

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