Location of Repository

Recursive Estimation in Econometrics

By David Stephen Pollock

Abstract

An account is given of recursive regression and Kalman filtering that gathers the important results and the ideas that lie behind them. It emphasises areas where econometricians have made contributions, including methods for handling the initial-value problem associated with nonstationary processes and algorithms for fixed-interval smoothing

Year: 2003
DOI identifier: 10.1016/S0167-9473(03)00150-6
OAI identifier: oai:lra.le.ac.uk:2381/2966
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://hdl.handle.net/2381/296... (external link)
  • http://www.sciencedirect.com/s... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.