Recursive Estimation in Econometrics


Speaker:Steven Pollock, Queen Mary University of London
Date: Friday 17 January 2003
Time: 16:15
Location: Room 106 Streatam Court

Further details

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.