Recursive estimation in econometrics

DOI10.1016/S0167-9473(03)00150-6zbMath1429.62692MaRDI QIDQ956735

D. Stephen G. Pollock

Publication date: 26 November 2008

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

zbMATH Keywords

initial-value problemKalman filteringfixed-interval smoothingrecursive regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• AS 154

Cites Work

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