Results found: 2

Search results

Search:
in the keywords: recursive estimation

Sort By:

Limit search:

The recursive least squares estimation of parametric functions in the general linear model

100%

Pordzik P. R., Department of Mathematical and Statistical Methods A. U. o. P.

Acta Universitatis Lodziensis. Folia Oeconomica

2002

vol. 156

W pracy uogólniora zostala technika rekurencyjnej estymacji funkcji parametrycznych metodą najmniejszych kwadratów w ogólnym modelu liniowym. Proponowana procedura umożliwia aktualizację estymatorów zarówno ze względu na dodatkową stochastyczną, jak i niestochastyczną informację o parametrach modelu.

The technique of recursive least squares estimation for the standard regression model is extended lo the general linear model with possibly singular dispersion matrix of error term. It is shown how to update the minimum dispersion linear unbiased estimate of a given vector of parametric functions with respcct to additional sample data which are to be successively incorporated to the inference base.

Estimating DSGE model parameters in a small open economy: Do real-time data matter?

88%

Capek J.

Review of Economic Perspectives

2015

vol. 15

issue 1

89-114

This paper investigates the differences between parameters estimated using real-time and those estimated with revised data. The models used are New Keynesian DSGE models of the Czech, Polish, Hungarian, Swiss, and Swedish small open economies in interaction with the euro area. The paper also offers an analysis of data revisions of GDP growth and inflation and trend revisions of interest rates. Data revisions are found to be unbiased and not autocorrelated in all countries. Inflation is usually measured more accurately in real-time than GDP growth, but this is not the case in the euro area. The results of the core analysis suggest that there are significant differences between parameter estimates using real-time data and those estimated using revised data. The model parameters that are most prone to significant differences between real-time and revised estimations are habit in consumption and persistence of domestic supply, of demand, and of world-wide technology shocks. The impulse response analysis suggests that the model behavior based on real-time and revised data is different.

Refine search results

1 Acta Universitatis Lodziensis. Folia Oeconomica

1 Review of Economic Perspectives

1 Capek J.

1 Department of Mathematical and Statistical Methods A. U. o. P.

1 Pordzik P. R.

1 2015

1 2002

Search results

The recursive least squares estimation of parametric functions in the general linear model

Estimating DSGE model parameters in a small open economy: Do real-time data matter?