A Note on Optimal Smoothing for Time Varying Coefficient Problems
Published Date
Copyright 1977
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Copy CitationThomas F. Cooley, Barr Rosenberg, and Kent D. Wall, Annals of Economic and Social Measurement, Volume 6, number 4 (NBER, 1977), https://www.nber.org/books-and-chapters/annals-economic-and-social-measurement-volume-6-number-4/note-optimal-smoothing-time-varying-coefficient-problems.
Published From Paper
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Working Paper
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying...
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