Time-Varying Parameters Prediction
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DOI: 10.1023/A:1004189000171
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References listed on IDEAS
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- Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
- Sánchez, Ismael, 2002. "Recursive estimation o dynamic models using cook's distance,with application to wind energy orecast," DES - Working Papers. Statistics and Econometrics. WS ws025515, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Karanasos, Menelaos & Paraskevopoulos, Alexandros & Magdalinos, Anastasios & Canepa, Alessandra, 2024. "A Unified Theory for Arma Models with Varying Coefficients: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202413, University of Turin.
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Keywords
Conditional least squares; extended Kalman filter; IBM stock price series; recursive least squares; time-varying parameter models;All these keywords.
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