Download This PaperRecursive Estimation in Econometrics
U of London Queen Mary Economics Working Paper No. 462
41 Pages Posted: 25 Jun 2002
Date Written: June 2002
Abstract
An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.
JEL Classification: C22
Suggested Citation: Suggested Citation
Pollock, D. S. G., Recursive Estimation in Econometrics (June 2002). U of London Queen Mary Economics Working Paper No. 462, Available at SSRN: https://ssrn.com/abstract=317301 or http://dx.doi.org/10.2139/ssrn.317301
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.