- Author
- Dziechciarz Józef
- Title
- Modele ekonometryczne a filtrami Kalmana
Econometric Models with Kalman Filters - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 1993, nr 658, s. 87-93, bibliogr. 29 poz.
- Issue title
- Statystyka i diagnostyka ekonomiczna
- Keyword
- Filtry Kalmana, Przegląd literatury, Modele ekonometryczne
Kalman filters, Literature review, Econometric models - Note
- summ.
- Abstract
- Omówiono model filtrów Kalmana, będący jednym z modeli ekonometrycznych z losowymi parametrami strukturalnymi generowanymi w niestacjonarnym procesie stochastycznym.
A class of econometris models with variable parameters generated in a nonstationary stochastic process is shown. In the model under consideration, the Kalman-Bucy filters are employed for coefficients estimation. Wide bibliographical reference covering both theoretical and empirical works on the topic is provided. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Athans M.: The importance of Kalman filtering methods for economic systems. "Annals of Economic and Social Studies" 1974 nr 3.
- Balcerowicz-Szkutnik M.: Modele ekonometryczne z losowymi porametrami. Estymacja i zastosowanie. Katowice: AE 1986. Maszynopis rozprawy doktorskiej.
- Belsley D.A.: The applicability of the Kalman filter in the determination of systematic parameter variation. "Annals of Economic and Social Studies" 1973 nr 2.
- Bos T.: Exact maximum, likelihood estimation of the Kalman filter model. University of Illinois 1982. Rozprawa doktorska.
- Burmeister E., Wall K.D.: Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation. "Journal of Econometrics" 1982 nr 20.
- Conrad W., Corrado C.: Application of the Kalman filter to revisions in monthly retail sales estimates. "Journal of Economic Dynamics and Control" 1979 nr 1.
- Cooper J.P.: A time-varying regression coefficients: a mixed estimation approach and operational limitations of the general Markov structure. "Annals of Economic and Social Studies" 1973 nr 2.
- Dziechciarz J.: Changing and random parameter models. A survey. W: Hackl P. (red.): Statistical Analysis and Forecasting of Economic Structural Change. Berlin: Springer 1989.
- Dziechciarz J.: Ekonometryczne modelowanie procesów gospodarczych. Modele ze zmiennymi i losowymi parametrami. Wrocław: AE 1993.
- Gardner G., Harvey A.C., Phillips G.D.A.: The maximum likelihood estimation of autoregressive, moving average models by Kalman filtering. "Applied Statistics" 1980 nr 2.
- Harvey A.C.: The Kalman filter and its applications in econometrics and time series analysis. "Methods of Operations Research" 1982 nr 44.
- Harvey A.C.: Forecasting, structural time series models and the Kalman filter. Cambridge University Press 1989.
- McNelis P.O., Neftci S.N.: Policy-dependent parameters in the presence of optimal learning: an application of Kalman filtering to fair and sargent supply-side equations. "The Review of Economics and Statistics" 1982 nr 64.
- McWhorter A. Jr.: Time series forecasting using Kalman filter: an empirical study. "Proceedings of the American Statistical Association" 1975 nr 4.
- Meinhold R.J., Singpurwalla N.D.: Understanding the Kalman filter. "The American Statistician" 1983 nr 37.
- Merkies A.H.Q.M., Steyn I.J.: Adaptive forecasting with hiperfilters (Kalman filters). Mimeo: Amsterdam University 1988 nr 18.
- Pawłowski Z.: Ekonometryczne metody badania popytu konsumpcyjnego. Warszawa: PWN 1961.
- Rausser G.C., Mundlak Y.: Structural change, parameter variation, and agricultural forecasting. Mimeo: Harvard University Cambridge 1978.
- Rusteem V., Westcott J.H. : Recursive parameter estimation using Kalman filter: an application to analyze time varying model parameters and structural changes, referat na: Econometric Society European Meeting, Helsinki: 1976.
- Sant D.: Generalised least squares applied to time-varying parameter models. "Annals of Economic and Social Studies" 1977 nr 6.
- Sarris A.H.: Kalman filter models. A Bayesian approach to estimation of time-varying regression coefficients. "Annals of Economic and Social Studies" 1973 nr 2.
- Schneider W.: Der Kalman Filter als Instrument zur Diagnose und Schaetzung vari abler Parameter in Oekonometrise hen Modelen. Wiedeń: Physica 1986.
- Schneider W.: Systems of seemingly unrelated regression equations with time varying coefficients. An interplay of Kalman fiItering, scoring. EM, and MINQUE method. Mimeo: University of Kiel 1988.
- Skrzypek J.: Próba oceny przydatności filtracji kalmanowskiej do potrzeb estymacji parametrów model i procesów gospodarczych. Kraków: AE 1984. Zeszyty Naukowe Akademii Ekonomicznej w Krakowie.
- Steyn I.J.: Recursive estimation of parameters in the Kalman filter. Mimeo: University of Amsterdam 1988.
- Steyn I.J., Nijman T.E.: Starting up the Kalman filter. A new look at diffuse initial conditions, Mimeo: University of Amsterdam 1988.
- Watson M.W.: Application of Kalman filter models in econometrics. Rozprawa doktorska. San Diego: University of California 1980.
- Watson M.W., Engle R.F.: Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models. "Journal of Econometrics" 1983 nr 23.
- Watson P.K.: Kalman filtering as an alternative to ordinary least squares - same theoretical considerations andempirical results. "Empirical Economics" 1983 nr 8.
- Cited by
- ISSN
- 0324-8445
- Language
- pol
