No. 462: Recursive Estimation in Econometrics
Stephen Pollock ,
Queen Mary, University of London
June 1, 2002
An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.
J.E.L classification codes: C22
Keywords:Recursive regression, Kalman filtering, Fixed-interval smoothing, The initial-value problem