Applying linear time-varying constraints to econometric models: With an application to demand systems


Autoria(s): Doran, HE; Rambaldi, AN
Data(s)

01/01/1997

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

http://espace.library.uq.edu.au/view/UQ:57721

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