The Flexible Least Squares Approach to Time-Varying Linear Regression

Robert E. Kalaba and Leigh Tesfatsion ()

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

Abstract: This study proposes a Flexible Least Squares (FLS) method for state estimation when the dynamic equations are unknown but the process state evolves only slowly over time. A smoothness prior is introduced in place of an explicit specification for the unknown dynamic equations governing the evolution of the process state. Simulation experiments illustrating the method are presented. Annotated pointers to related work can be accessed here: http://www2.econ.iastate.edu/tesfatsi/flshome.htm

Keywords: Flexible least squares; smoothness prior (search for similar items in EconPapers)
JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
Date: 1988-03-01
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Citations: View citations in EconPapers (28)

Published in Journal of Economic Dynamics and Control, March 1988, vol. 12 no. 1, pp. 43-48

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Journal Article: The flexible least squares approach to time-varying linear regression (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:11198

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