Kalman Filters and Specification Errors of Hyper-Structure

• Autorzy: Stefan Grzesiak
• Języki publikacji: EN

Abstrakty

EN

Summing up the discussion on specification errors it should be pointed out that such widespread methods as ad hoc specifications and sensitivity analysis are of little use for the estimation of an unknown hyper-structure with time-varying parameters. And that is exactly what is important for the improvement of the prognostic quality of the econometric model. It is also particularly significant for the economic interpretation of an estimated course of the parameter. The course of the estimated values of the parameter βt/t is definitely dependant on the choice of the covariance matrix Q. Moreover, if the influence of specification errors of the transition matrix F is considered, we can easily imagine that without a proper criterion of estimation, practically every "demanded" course of the parameter can be estimated according to the "proper" choice of a hyper-structure.(fragment of text)

Słowa kluczowe

EN

Kalman filters; Sensitivity analysis; Econometric models

PL

Filtry Kalmana; Analiza wrażliwości; Modele ekonometryczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 75--81

Twórcy

autor

Stefan Grzesiak

• University of Szczecin, Poland

Bibliografia

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