Modele ekonometryczne a filtrami Kalmana

• Autorzy: Józef Dziechciarz

Warianty tytułu

Econometric Models with Kalman Filters

• Języki publikacji: PL

Abstrakty

Omówiono model filtrów Kalmana, będący jednym z modeli ekonometrycznych z losowymi parametrami strukturalnymi generowanymi w niestacjonarnym procesie stochastycznym.

EN

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)

Słowa kluczowe

PL

Modele ekonometryczne; Filtry Kalmana; Przegląd literatury

EN

Econometric models; Kalman filters; Literature review

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu
• Rocznik: 1993
• Numer: nr 658 Statystyka i diagnostyka ekonomiczna
• Strony: 87--93

Twórcy

autor

Józef Dziechciarz

Bibliografia

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• 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.
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• Steyn I.J.: Recursive estimation of parameters in the Kalman filter. Mimeo: University of Amsterdam 1988.
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