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1994 | nr 686 Zastosowania metod ilościowych | 87--98
Tytuł artykułu

Modele z parametrami strukturalnymi generowanymi przez niestacjonarny proces stochastyczny

Warianty tytułu
Econometric Models with Non Stationary Coefficients
Języki publikacji
PL
Abstrakty
Opisano trzy modele z parametrami strukturalnymi generowanymi przez niestacjonarny proces stochastyczny. Należą do nich: model T.F. Cooleya i E.C. Prescotta, model ze zbieżnymi parametrami (B. Rosenberga) oraz modele filtrów Kalmana.
EN
Econometric models with coefficients generated in non stationary stochastic process are reviewed. Three construction (Cooley-Prescott model, Convergent parameter model of Rosenberg, and Kalman Folter model) are shown and discussed. Extensive literature list is given. (original abstract)
Twórcy
Bibliografia
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  • Belsley D.A. [1973]: The Applicability of the Kalman Filter in the Determination of Systematic Parameter Variation. AESM, nr 2, s. 531-533.
  • Bos T. [1982]: Exact Maximum Likelihood Estimation of the Kalman Filter Model Ph.D. Thesis, University of Illinois.
  • Broemeling L.D., Tsurumi H. [1987]: Econometric and Structural Change. Dekker, New York.
  • Burmeister E., Wall K.D. [1982]: Kalman Filtering Estimation of Unobserved Rational Expectations with an Application to the German Hyperinflation. JE, nr 20, s. 255-284.
  • Conrad W., Corrado C. [1979]: Application of the Kalman Filter to Revisions in Monthly Retail Sales Estimates. JEDC, nr 1, s. 177-198.
  • Cooley T.F., Decanio S.J. [1977]: Rational Expectations in American Agriculture. TRES, nr 59, s. 9-17.
  • Cooley T.F., Prescott E.C. [1973]: An Adaptive Regression Model IER, nr 14, s. 364-371.
  • Cooley T.F., Prescott E.C. [1973]: Tests of an Adaptive Regression Model. TRES, nr 55, s. 248-256.
  • Cooley T.F., Prescott E.C. [1973]: Varying Parameter Regression. A Theory and Some Applications. AESM, nr 2, s. 463-474.
  • Cooley T.F., Prescott E.C. [1976]: Estimation in the Presence of Stochastic Parameter Variation. E, nr 44, s. 167-184.
  • Cooper J.P. [1973]: Time-Varying Regression Coefficients: A Mixed Estimation Approach and Operational Limitations of the General Markov Structure. AESM, nr 2, s. 525-530.
  • Dziechciarz J. [1988]: Modele z losowymi parametrami. Przegląd. PNAE nr 404, s. 41-62.
  • Dziechciarz J. [1989]: Changing Coefficient Models. A Survey. [w:] Computer Problems in Statistics and Econometrics. PNAE, nr 463, s. 39-63.
  • Dziechciarz J. [1989]: Changing and Random Parameter Models. A Survey. [w:] Hackl P. (red.): Statistical Analysis and Forecasting of Economic Structural Change. Springer, Berlin, s. 217-253.
  • Dziechciarz J. [1989]: Random and Varying Parameter Models far Longitudinal Data. W: Production Management. Janus Pannonius University Press. Pecs, s. 52-73.
  • Dziechciarz J. [1991]: Modelowanie dynamiki gospodarki. Zmienne parametry strukturalne. [w:] Dynamiczne modele ekonometryczne. UMK, Toruń, s. 111-117.
  • Dziechciarz J. [1991]: O przyczynach niepowodzeń w stosowaniu modeli typu Hsiao. PNAE, nr 636, s. 97-106.
  • Dziechciarz J. [1993]: Ekonometryczne modelowanie procesów gospodarczych. Modele ze zmiennymi i losowymi parametrami. PNAE, nr 647.
  • Harvey A.C. [1982]: The Kalman Filter and its Applications in Econometrics and Time Series Analysis. MOR, nr 44, s. 3-18.
  • Harvey A.C. [1989]: Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge.
  • Judge G.G., Griffiths W.E., Hill R.C., Lee T.C. [1980]: The Theory and Practice of Econometrics. Wiley, New York.
  • Judge G.Q., Griffiths W.E., Hill R.C., Lee T.C., Lütkepohl H. [1985]: The Theory and Practice of Econometrics. Wyd. 2. Wiley, New York.
  • Laumas P.S. [1978]: Monetization, Economic Development and the Demand for Money. TRES, nr 60, s. 614-615.
  • Laumas P.S., Mehra Y.P. [1976]: The Stability of the Demand for Money Function: The Evidence from Quarterly Data. TRES, nr 58, s. 464-468.
  • Lord R.C. [1988]: Estimation of Welfare Effects of US Sugar Policy with Time Varying Parameters. University of Michigan, Ann Arbor.
  • McNelis P.D., Neftci S.N. [1982]: Policy Dependent Parameters in the Presence of Optimal Learning: An Application of Kalman Filtering to Fair and Sargent Supply Side Equations. TRES, nr 64, s. 296-306.
  • McWhorter A. jr [1975]: Time Series Forecasting Using Kalman Filter: An Empirical Study. PASA, s. 436-441.
  • Meinhold R.J., Singpurwalla N.D. [1983]: Understanding the Kalman Filter. TAS, nr 37, s. 123-127.
  • Merkies A.H.Q.M., Steyn I.J. [1988]: Adaptive Forecasting with Hiperfilters (Kalman Filters). Mimeo, Amsterdam University.
  • Mullineaux D. [1980]: Inflation Expectations and Money Growth in the United States. AER, nr 70, s. 147-161.
  • Pagan A.R. [1980]: Some Identification and Estimation Results for Regression Models with Stochastically Varying Coefficients. JE, nr 13, s. 341-363.
  • Pawłowski Z. [1961]: Ekonometryczne metody badania popytu konsumpcyjnego. PWN, Warszawa.
  • Rausser G.C., Laumas P.S. [1976]: The Stability of the Demand for Money in Canada. JME, nr 3, s. 367-380.
  • Rausser G.C., Mundlak Y. [1978]: Structural Change, Parameter Variation, and Agricultural Forecasting. Mimeo, Harvard University, Cambridge.
  • Rausser G.C., Mundlak Y., Johnson S.R. [1982]: Structural Change, Updating and Forecasting. [w:] Rausser G.C. (red.), New Directions... North Holland, New York.
  • Roll R. [1972]: Interest Rates on Monetary Assets and Commodities Price Index Changes. JF, nr 27, s. 251-277.
  • Rosenberg B. [1973]: Random Coefficient Models. The Analysis of a Cross Section of Time Series by Stochastically Convergent Parameter Regression. AESM, nr 2, s. 399-428.
  • Rusteem V., Westcott J.H. [1976]: Recursive Parameter Estimation Using Kalman Filter: An Application to Analyse Time Varying Model Parameters and Structural Changes. Referat na Econometric Society European Meeting, Helsinki.
  • Sant D. [1977]: Generalised Least Squares Applied to Time Varying Parameter Models. AESM, nr 6, s. 301-314.
  • Sarris A.H. [1973]: Kalman Filter Models. A Bayesian Approach to Estimation of Time-Varying Regression Coefficients. AESM, nr 2, s. 501-523.
  • Schink R.G. [1972]: Small Sample Estimates of the Variance Covariance Matrix of Forecast Error for Large Econometric Models. Ph.D. Thesis, University of Pennsylvania, Philadelphia.
  • Schneider W. [1986]: Der Kalman Filter als Instrument zur Diagnose und Schätzung variabler Parameter in ökonometrischen Modelen. Physiea, Heidelberg.
  • Schneider W. [1988]: Systems of Seemingly Unrelated Regression Equations with Time Varying Coefficients. An Interplay of Kalman Filtering. Scoring. EM, and MINQUE Method, Mimeo, University of Kiel.
  • Skrzypek J. [1985]: Zastosowanie filtracji kalmanowskiej do estymacji parametrów modeli procesów gospodarczych. PNAE, nr 311, s. 165-173.
  • Steyn I.J. [1988]: Recursive Estimation of Parameters in the Kalman Filter. Mimeo, University of Amsterdam.
  • Steyn I.J., Nijman T.E. [1988]: Starting up the Kalman Filter. A New Look at Diffuse Initial Conditions. Mimeo, University of Amsterdam.
  • Swamy P.A.V.B., Mehta J.S. [1975]: Bayesian and Non Bayesian Analysis oft Switching Regressions and of Random Coefficient Regression Models. JASA 3 nr 70, s. 593-602.
  • Swamy P.A.V.B., Tinsley P.A. [1980]: Linear Prediction and Estimationi Methods for Regression Models with Stationary Stochastic Coefficients. JE, nr 12, s. 103-142.
  • Tsurumi H., Shiba T. [1981]: On Cooley Prescott Time Varying Parameter Model. ESQ, nr 32, s. 176-180.
  • Watson M.W. [1980]: Application of Kalman Filter Models in Econometrics. Ph.D. Thesis, University of California, San Diego.
  • Watson M.W., Engle R.F. [1983]: Alternative Algorithms far the Estimation of Dynamic Factor, Mimic and Varying Coefficient Regression Models. JE, nr 23, s. 385-400.
  • Watson P.K. [1983]: Kalman Filtering as an Alternative to Ordinary Least Squares Some Theoretical Considerations and Empirical Results. EES, nr 8, s. 71-85.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000000000815

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