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.

(89 K)

Published:

• Cooley, Thomas F. and Wall, Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems." Annals of Economic and Social Measurement, Vol. 6, No. 4, pp. 453-456, 1977. ,
• Cooley, Thomas F. and Wall Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," Annals of Economic and Social Measurement, Vol. 5, No. 4, (1977), pp. 453-456. ,
• A Note on Optimal Smoothing for Time Varying Coefficient Problems, Thomas F. Cooley, Barr Rosenberg, Kent D. Wall, in Annals of Economic and Social Measurement, Volume 6, number 4 (1977), NBER
  

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