A Note on Optimal Smoothing for Time Varying Coefficient Problems
Thomas F. Cooley, Kent D. Wall · National Bureau of Economic Research · 1976
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified.The key ideas involve a combination of the infonrtion-form Kalman filter with the two.-filter interpretation of the opti1 smoother.The algorithm produces efficient estintes of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.