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

DOI10.1080/00207728108963795zbMath0479.93067OpenAlexW2053093418MaRDI QIDQ3937257

Esa Uusipaikka, Heikki Ruskeepaa

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/00207728108963795

zbMATH Keywords

characteristic functionsKalman filtereconometric modelsstochastic regressorslagged observationsstochastic exogenous variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential estimation (62L12)

Related Items (3)

Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors ⋮ Adaptive control of econometric models with unknown parameters ⋮ Generalized dynamic linear models for financial time series

Cites Work

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• Recursions for the two-stage least-squares estimators
• Stochastic processes and filtering theory
• Problems of identification and control
• Application of filtering methods in econometrics
• Linear Statistical Inference and its Applications

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