School of Economics and Finance

No. 462: Recursive Estimation in Econometrics

Stephen Pollock , Queen Mary, University of London

June 1, 2002

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An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value problem associated with nonstationary processes and the algorithms of fixed-interval smoothing.

J.E.L classification codes: C22

Keywords:Recursive regression, Kalman filtering, Fixed-interval smoothing, The initial-value problem