A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations / Alexander H. Sarris.

By:

Sarris, Alexander H

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0038.Publication details: Cambridge, Mass. National Bureau of Economic Research 1974.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0038 (Browse shelf(Opens below))	Not For Loan

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April 1974.

A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.