A Note on Optimal Smoothing for Time Varying Coefficient Problems

Thomas Cooley and Kent D. Wall

No 128, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.

Date: 1976-03
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as Cooley, Thomas F. and Wall, Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems." Annals of Economic and Social Measurement, Vol. 6, No. 4, pp. 453-456, 1977.
Published as Cooley, Thomas F. and Wall Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," Annals of Economic and Social Measurement, Vol. 5, No. 4, (1977), pp. 453-456.
Published as A Note on Optimal Smoothing for Time Varying Coefficient Problems , Thomas F. Cooley, Barr Rosenberg, Kent D. Wall. in Annals of Economic and Social Measurement, Volume 6, number 4 , Berg. 1977

Downloads: (external link)
http://www.nber.org/papers/w0128.pdf (application/pdf)

Related works:
Chapter: A Note on Optimal Smoothing for Time Varying Coefficient Problems (1977)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:0128

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w0128

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().