NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Alexander H. Sarris

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NBER Working Papers and Publications

April 1974A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations
w0038
A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.
December 1973Optimal Adaptive Control Methods for Structurally Varying Systems
with Michael Athans: w0024
The problem of simultaneously identifying and controlling a time-varying, perfectly-observed linear system is posed. The parameters are assumed to obey a Markov structure and are estimated with a Kalman filter. The problem can be solved conceptually by dynamic programming, but even with a quadratic loss function the analytical computations cannot be carried out for more than one step because of the dual nature of the optimal control law. All approximations to the solution that have been proposed in the literature, and two approximations that are presented here for the first time are analyzed. They are classified into dual and non-dual methods. Analytical comparison is untractable; hence Monte Carlo simulations are used. A set of experiments is presented in which five non-dual method...
October 1973A Bayesian Approach To Estimation Of Time-Varying Regression Coefficients
in Annals of Economic and Social Measurement, Volume 2, number 4, Sanford V. Berg, editor
 
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