Application of filtering methods in econometrics

DOI10.1080/00207728008967089zbMath0448.93056OpenAlexW1995187382MaRDI QIDQ3895372

Alexis Lazaridis

Publication date: 1980

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728008967089

zbMATH Keywords

Kalman filtereconometricsbayesian estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Kalman type filter for models with stochastic regressors and applications to econometric models

Cites Work

• The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model
• Note on the Asymptotic Standard Errors of Latent Roots of Econometric Equation Systems
• Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency
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