Recursive Estimation in Econometrics
Economics
| 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.