@techreport{NBERw0128,
 title = "A Note on Optimal Smoothing for Time Varying Coefficient Problems",
 author = "Thomas F. Cooley and Kent D. Wall",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "128",
 year = "1976",
 month = "March",
 URL = "http://www.nber.org/papers/w0128",
 abstract = {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.},
}