TY  - JOUR
AU  - Cooley,Thomas F.
AU  - Wall,Kent D.
TI  - A Note on Optimal Smoothing for Time Varying Coefficient Problems
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 128
PY  - 1976
Y2  - March 1976
UR  - http://www.nber.org/papers/w0128
L1  - http://www.nber.org/papers/w0128.pdf
N1  - Author contact info:
Thomas F. Cooley
Department of Economics
Stern School of Business
44 West 4th Street, Room 7-88
New York, NY  10012-1126
Tel: 212/998-0870
Fax: 212/995-4218
E-Mail: tcooley@stern.nyu.edu

Kent D. Wall
M1  - published as Thomas F. Cooley, Barr Rosenberg, Kent D. Wall. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," in Sanford V. Berg, editor, "Annals of Economic and Social Measurement, Volume 6, number 4" NBER (1977)

AB  - 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.
ER  -