Analytical uses of Kalman filtering in econometrics — A survey |
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Authors: | Wolfgang Schneider |
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Institution: | 1. Institut für Statistik und ?konometrie der Christian-Albrechts-Universit?t Kiel, 2300, Kiel, BRD
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Abstract: | This paper surveys the different uses of Kalman filtering in the estimation of statistical (econometric) models. The Kalman
filter will be portrayed as (i) a natural generalization of exponential smoothing with a time-dependent smoothing factor,
(ii) a recursive estimation technique for a variety of econometric models amenable to a state space formulation in particular
for econometric models with time varying coefficients (iii) an instrument for the recursive calculation of the likelihood
of the (constant) state space coefficients (iv) a means of helping to implement the scoring− and EM-method for iteratively maximizing this likelihood (v) an analytical tool in asymptotic estimation theory. The concluding
section points to the importance of Kalman filtering for alternatives to maximum− likelihood estimation of state space parameters. |
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