A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations

Alexander H. Sarris

No 38, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.

Date: 1974-04
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