Recursive Estimation in Econometrics
|Speaker:||Steven Pollock, Queen Mary University of London|
|Date:||Friday 17 January 2003|
|Location:||Room 106 Streatam Court|
An account is given of recursive regression and of Kalman filltering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.