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| Author: | Doran, H. Rambaldi, A. |
| Title: | Applying time-varying constraints to econometric models: with an application to demand systems |
| Journal: | Journal of Econometrics
1997 : JUL, VOL. 79:1, p. 83-96 |
| Index terms: | ECONOMETRICS MODELS LINEAR MODELS |
| 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 the authors 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. |
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