McCulloch, J. Huston - Society for Computational Economics - SCE - 2005
Adaptive Least Squares (ALS), i.e. recursive regression with asymptotically constant gain, as proposed by Ljung (1992), Sargent (1993, 1999), and Evans and Honkapohja (2001), is an increasingly widely-used method of estimating time-varying relationships and of proxying agents’...