Estimating Time-Dependent Means in Dynamic Models for Cross-sections of Time Series

Pablo Marshall

Empirical Economics, 1992, vol. 17, issue 1, 25-33

Abstract: This paper considers a dynamic extension of the classical error components model based on the ideas of structural time series models. The study concentrates on the mean square error estimation of time-dependent means by using the Kalman filter, and on the relative efficiency of these estimators as a function of both the number of observations across units and time.

Date: 1992
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