The flexible least squares approach to time-varying linear regression
نویسندگان
چکیده
منابع مشابه
THE FLEXIBLE LEAST SQUARES APPROACH TO TIME-VARYING LINEAR REGRESSION* Robert KALABA and Leigh TESFATSION
Consider an investigator who obtains noisy observations on a process and who wishes to learn about the actual sequence of states through which the process has passed. Suppose the investigator believes the process is adequately described by non-linear dynamic and measurement equations. However, he sees no way to justify the assignment of specific probabilistic properties to residual error terms....
متن کاملTIME-VARYING LINEAR REGRESSION VIA FLEXIBLE LEAST SQUARESt
-Suppose noisy observations obtained on a process are assumed to have been generated by a linear regression model with coefficients which evolve only slowly over time, if at all. Do the estimated time-paths for the coefficients display any systematic time-variation, or is time-constancy a reasonably satisfactory approximation? A "flexible least squares" (FLS) solution is proposed for this probl...
متن کاملSupplement to “ Robust Linear Least Squares Regression ”
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
متن کاملTo “ Robust Linear Least Squares Regression ”
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
متن کاملRobust linear least squares regression
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 1988
ISSN: 0165-1889
DOI: 10.1016/0165-1889(88)90013-9