Kalman-Verfahren in der Ökonometrie

Abstract

"This paper discusses the Scoring and the EM-algorithm as two alternative methods for maximum likelihood estimation of the Input information in a Kalman filter model. The behavior of both methods is demonstrated in the estimation of the parameters for a money supply equation. According to the two different approaches, the hypothesis of time invariant coefficients is strongly rejected. The Pattern of the time varying coefficients gives some interesting insight into the money supply behavior of the federal reserve bank. In addition, better predictive behavior is achieved." (Author's abstract, IAB-Doku) ((en))

Cite article

Möller, J. & Wais, B. (1987): Kalman-Verfahren in der Ökonometrie. Schätzung einer Geldangebotsgleichung mit zeitvariablen Koeffizienten unter Verwendung optimaler Filtereingangsinformation. In: Allgemeines statistisches Archiv, Vol. 71, No. 3, p. 267-283.