| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w0038 |
| 来源ID | Working Paper 0038 |
| A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations | |
| Alexander H. Sarris | |
| 发表日期 | 1974-04-01 |
| 出版年 | 1974 |
| 语种 | 英语 |
| 摘要 | A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models. |
| URL | https://www.nber.org/papers/w0038 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557235 |
| 推荐引用方式 GB/T 7714 | Alexander H. Sarris. A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations. 1974. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w0038.pdf（315KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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