In a recent paper Kalaba and Tesfatsion (1988b, app. B) mention that the recurrence relations characterizing their Flexible Least Squares (FLS) approach when applied to linear systems [e.g., Kalaba and Tesfatsion (1986, 1988a)] are analogous to those of the more familiar Kalman Filter (KF) when the appropriate definitions are used. However, they fail to point out that, in that same case, the statistical model for which this KF is optimal is just a standard time-varying parameter regression model with certain restrictions imposed. These restrictions are derived in the present note. © 1990.
Tucci, M.P. (1990). A Note on Flexible Least Square. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 14(1), 175-182 [10.1016/0165-1889(90)90011-5].
A Note on Flexible Least Square
Tucci, MARCO PAOLO
1990-01-01
Abstract
In a recent paper Kalaba and Tesfatsion (1988b, app. B) mention that the recurrence relations characterizing their Flexible Least Squares (FLS) approach when applied to linear systems [e.g., Kalaba and Tesfatsion (1986, 1988a)] are analogous to those of the more familiar Kalman Filter (KF) when the appropriate definitions are used. However, they fail to point out that, in that same case, the statistical model for which this KF is optimal is just a standard time-varying parameter regression model with certain restrictions imposed. These restrictions are derived in the present note. © 1990.
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https://hdl.handle.net/11365/403518
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