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Title: Recursive Estimation in Econometrics
Authors: Pollock, David Stephen
First Published: 2003
Citation: Computational Statistics and Data Analysis, 2003, 44, pp.37-75
Abstract: An account is given of recursive regression and Kalman filtering that gathers the important results and the ideas that lie behind them. It emphasises areas where econometricians have made contributions, including methods for handling the initial-value problem associated with nonstationary processes and algorithms for fixed-interval smoothing.
DOI Link: 10.1016/S0167-9473(03)00150-6
Type: Article
Appears in Collections:Published Articles, Dept. of Economics

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