Applying linear time-varying constraints to econometric models: With an application to demand systems

Doran, HE and Rambaldi, AN (1997) Applying linear time-varying constraints to econometric models: With an application to demand systems. Journal of Econometrics, 79 1: 83-95. doi:10.1016/S0304-4076(97)00008-0


Author Doran, HE
Rambaldi, AN
Title Applying linear time-varying constraints to econometric models: With an application to demand systems
Journal name Journal of Econometrics   Check publisher's open access policy
ISSN 0304-4076
Publication date 1997-01-01
Year available 1997
Sub-type Article (original research)
DOI 10.1016/S0304-4076(97)00008-0
Open Access Status
Volume 79
Issue 1
Start page 83
End page 95
Total pages 13
Place of publication LAUSANNE
Publisher ELSEVIER SCIENCE SA LAUSANNE
Language eng
Abstract When linear equality constraints are invariant through time they can be incorporated into estimation by restricted least squares. If, however, the constraints are time-varying, this standard methodology cannot be applied. In this paper we show how to incorporate linear time-varying constraints into the estimation of econometric models. The method involves the augmentation of the observation equation of a state-space model prior to estimation by the Kalman filter. Numerical optimisation routines are used for the estimation. A simple example drawn from demand analysis is used to illustrate the method and its application.
Keyword Mathematics, Interdisciplinary Applications
Economics
Social Sciences, Mathematical Methods
State Space Models
Time-varying Constraints
Kalman Filter
Numerical Optimisation
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Economics Publications
 
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Created: Tue, 14 Aug 2007, 02:51:43 EST