Applying linear time-varying constraints to econometric models: With an application to demand systems
Data(s) |
01/01/1997
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Resumo |
When linear equality constraints are invariant through time they can be incorporated into estimation by restricted least squares. If, however, the constraints are time-varying, this standard methodology cannot be applied. In this paper we show how to incorporate linear time-varying constraints into the estimation of econometric models. The method involves the augmentation of the observation equation of a state-space model prior to estimation by the Kalman filter. Numerical optimisation routines are used for the estimation. A simple example drawn from demand analysis is used to illustrate the method and its application. |
Identificador | |
Idioma(s) |
eng |
Palavras-Chave | #Mathematics, Interdisciplinary Applications #Economics #Social Sciences, Mathematical Methods #State Space Models #Time-varying Constraints #Kalman Filter #Numerical Optimisation |
Tipo |
Journal Article |