A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations
A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.
Year of publication: |
1974-04
|
---|---|
Authors: | Sarris, Alexander H. |
Institutions: | National Bureau of Economic Research (NBER) |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Optimal Adaptive Control Methods for Structurally Varying Systems
Sarris, Alexander H., (1973)
-
Agricultural taxation under structural adjustment
Sarris, Alexander, (1994)
-
Sarris, Alexander H., (2003)
- More ...