Recursive estimation in econometrics

DOI10.1016/S0167-9473(03)00150-6zbMATH Open1429.62692MaRDI QIDQ956735FDOQ956735

Authors: D. Stephen G. Pollock 

Publication date: 26 November 2008

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

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zbMATH Keywords

Kalman filteringinitial-value problemfixed-interval smoothingrecursive regression

Mathematics Subject Classification ID

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

Cites Work

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Cited In (35)

• Second special issue on computational econometrics
• Gauss, Kalman and advances in recursive parameter estimation
• Applications of recursive estimation methods in statistical process control: a comparison
• 2nd special issue on matrix computations and statistics
• Econometric methods of signal extraction
• Introduction to the special issue on statistical signal extraction and filtering
• Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
• Convergence of Discount Time Series Dynamic Linear Models
• Recursive estimation for economic research: the multiple equations Case
• Characterization of the oblique projector \(U(VU)^{\dagger}V\) with application to constrained least squares
• Recursive estimation and time-series analysis. An introduction
• On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting
• Linear dynamic harmonic regression
• FIML estimation of dynamic econometric systems from inconsistent data
• Computationally efficient methods for estimating the updated-observations SUR models
• Title not available (Why is that?)
• The hierarchical-likelihood approach to autoregressive stochastic volatility models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
• Title not available (Why is that?)
• Some aspects of testing non-nested hypotheses
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
• Analysis of dynamic economic phenomenon using filtering method
• Decomposition of time series models in state-space form
• Model combination in neural-based forecasting
• Title not available (Why is that?)
• Dropping variables versus use of proxy variables in linear regression
• On the concept of matrix derivative
• Tensor products and matrix differential calculus
• A recursive three-stage least squares method for large-scale systems of simultaneous equations
• Present Position and Potential Developments: Some Personal Views: Time- Series Econometrics
• Recursive estimation and time-series analysis. An introduction for the student and practitioner
• Identification of linear stochastic models with covariance restrictions
• Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations

Uses Software

• AS 154

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