Recursive Estimation in Econometrics

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 462, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Recursive regression; Kalman filtering; Fixed-interval smoothing; The initial-value problem (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2002-06-01
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:462

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