Estimating Time-Dependent Means in Dynamic Models for Cross-sections of Time Series.
This paper considers a dynamic extension of the classical error components model based on the ideas of structural time series models. The study concentrates on the mean square error estimation of time-dependent means by using the Kalman filter, and on the relative efficiency of these estimators as a function of both the number of observations across units and time.
Year of publication: |
1992
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Authors: | Marshall, Pablo |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 17.1992, 1, p. 25-33
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Publisher: |
Department of Economics and Finance Research and Teaching |
Saved in:
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