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Recursive Estimation in Econometrics

By David Stephen Pollock


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
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