Time-Varying Linear Regression Via Flexible Least Squares

Robert E. Kalaba and Leigh Tesfatsion ()

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: This article develops a multicriteria "flexible least squares (FLS)" method for time-varying linear regression. The basic FLS objective is to determine the "residual efficiency frontier," that is, the set of all coefficient trajectory estimates that yield vector-minimal sums of squared residual measurement and dynamic errors conditional on a given set of observations. The FLS algorithm was incorporated into the statistical packages GAUSS/TSM and SHAZAM in 1997. Annotated pointers to related work can be accessed here: http://www2.econ.iastate.edu/tesfatsi/flshome.htm

JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
Date: 1989-01-01
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Citations: View citations in EconPapers (56)

Published in Computers and Mathematics With Applications 1989, vol. 17 no. 08/09/09, pp. 1215-1245

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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:11196

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