Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

DOI10.1016/0304-4076(83)90066-0zbMath0534.62083OpenAlexW2072041292MaRDI QIDQ790575

Mark W. Watson, Robert F. Engle

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90066-0

zbMATH Keywords

EM algorithmKalman filterderivative-free methodmethod of scoringestimation of dynamic unobserved component modelsvarying coefficient regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Point estimation (62F10) Sequential estimation (62L12)

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Cites Work

• Some identification and estimation results for regression models with stochastically varying coefficients
• Testing for functional misspecification in regression analysis
• The EM Approach to the Multiple Indicators and Multiple Causes Model Via the Estimation of the Latent Variable
• A Note on the Extraction of Components from Time Series
• The Identification and Parameterization of Armax and State Space Forms
• Evaluation of likelihood functions for Gaussian signals
• Estimation of Regression Relationships Containing Unobservable Independent Variables
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