NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Note on Optimal Smoothing for Time Varying Coefficient Problems

Thomas F. Cooley, Kent D. Wall

NBER Working Paper No. 128
Issued in March 1976

An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.

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Document Object Identifier (DOI): 10.3386/w0128

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Cooley, Rosenberg, and Wall A Note on Optimal Smoothing for Time Varying Coefficient Problems
 
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