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Efficient Estimation of Stochastic Parameters: A GLS Approach

https://doi.org/10.2139/ssrn.4666716
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1109/asspcc.2000.882463openalex-extracted
The unscented Kalman filter for nonlinear estimation
inferredcites →https://doi.org/10.1115/1.3662552openalex-extracted
A New Approach to Linear Filtering and Prediction Problems
inferredcites →https://doi.org/10.1117/12.280797openalex-extracted
New extension of the Kalman filter to nonlinear systems
inferredcites →https://doi.org/10.1162/003465399558454openalex-extracted
Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2953682openalex-extracted
Postwar U.S. Business Cycles: An Empirical Investigation
inferredcites →https://doi.org/10.2514/3.3166openalex-extracted
Maximum likelihood estimates of linear dynamic systems
inferredcites →https://doi.org/10.4324/9780203070710.ch30openalex-extracted
Output Dynamics in Real-Business-Cycle Models
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