Square Root Iterative Filter: Theory and Applications to Econometric Models

Carlo Carraro () and Domenico Sartore

Annals of Economics and Statistics, 1987, issue 6-7, 435-459

Abstract: This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical problems affecting the standard Kalman filter algorithm and the related information filter and smoothing algorithms;an iterative framework, where information and covariance filters and smoothing are sequentially run in order to estimate all the parameters of the model; four different algorithms to consistently estimate the distribution of the estimated parameters, which are described and then compared by performing appropriate Montecarlo experiments.

Date: 1987
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1987:i:6-7:p:435-459

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