The flexible least squares approach to time-varying linear regression

DOI10.1016/0165-1889(88)90013-9zbMath0646.62061OpenAlexW2073570880MaRDI QIDQ1104002

Leigh Tesfatsion, Robert E. Kalaba

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90013-9

zbMATH Keywords

simulation experimentsflexible least squares approachtime-varying linear regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

A multicriteria approach to model specification and estimation ⋮ U.S. money demand instability. A flexible least squares approach ⋮ A note on flexible least squares ⋮ Dynamic modeling of mean-reverting spreads for statistical arbitrage ⋮ A FORTRAN program for time-varying linear regression via flexible least squares

Uses Software

• FLS

Cites Work

• A FORTRAN program for time-varying linear regression via flexible least squares
• Sequential nonlinear estimation with nonaugmented priors
• Time-varying linear regression via flexible least squares
• A least-squares model specification test for a class of dynamic nonlinear economic models with systematically varying parameters
• An exact sequential solution procedure for a class of discrete-time nonlinear estimation problems
• Unnamed Item