Augmented flexible least squares algorithm for time‐varying parameter systems

2021 ◽  
Author(s):  
Jing Chen ◽  
Liuxiao Guo ◽  
Manfeng Hu ◽  
Min Gan ◽  
Quanmin Zhu
Keyword(s):  
Least Squares ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Flexible Least Squares ◽  
Least Squares Algorithm

scholarly journals THE INFORMAL ECONOMY AND ECONOMIC GROWTH OF NIGERIA: A TIME-VARYING PARAMETER APPROACH

2021 ◽  
pp. 97-113
Author(s):  
Abiola Lydia Aina
Keyword(s):  
Economic Growth ◽  
Least Squares ◽  
Informal Economy ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Fixed Parameter ◽  
Flexible Least Squares ◽  
The Relationship

Studies on the relationship between the informal economy and economic growth have been inconclusive as to whether the positive or negative relationship dominates. These results are partly due to the type of estimation technique such as fixed-parameter techniques. Fixed parameter techniques have been used to observe the relationship between economic growth and the informal economy. A caveat to the fixed-parameter estimation techniques used to observe the relationship between the informal economy and economic growth is the inability to account for annual disruptions. This paper seeks to examine the relationship between the informal economy and economic growth in Nigeria in the period from 1991 to 2015 using the Time-Varying Parameter (TVP) model. The TVP model is estimated in two stages. First, an Ordinary Least Squares (OLS) multiple regression is estimated and the outcome is subjected to the flexible least-squares approach. The results show the dominance of the negative effects of the informal economy on economic growth. The outcomes also reveal that overtime movements of time-varying parameters in the informal economy and economic growth are connected with economic and political events. This paper recommends the absorption of the informal economy into the official economy through government policy.

A FORTRAN program for time-varying linear regression via flexible least squares

1989 ◽  
Vol 7 (3) ◽  
pp. 291-309 ◽  
Author(s):  
Robert Kalaba ◽  
Nima Rasakhoo ◽  
Leigh Tesfatsion
Keyword(s):  
Linear Regression ◽  
Least Squares ◽  
Fortran Program ◽  
Time Varying ◽  
Flexible Least Squares

Identification of linear time-varying systems using a modified least-squares algorithm

Automatica ◽  
2000 ◽  
Vol 36 (7) ◽  
pp. 1009-1015 ◽  
Author(s):  
Rogelio Lozano ◽  
Dimitrios Dimogianopoulos ◽  
Robert Mahony
Keyword(s):  
Least Squares ◽  
Linear Time ◽  
Time Varying ◽  
Time Varying Systems ◽  
Least Squares Algorithm

Time-Varying Flexible Least Squares for Thermal Desorption of Gases

2013 ◽  
Vol 45 (6) ◽  
pp. 374-386 ◽  
Author(s):  
David J. Miron ◽  
Shane M. Kendell ◽  
Alaa M. Munshi ◽  
Abdullah K. Alanazi ◽  
Trevor C. Brown
Keyword(s):  
Least Squares ◽  
Thermal Desorption ◽  
Time Varying ◽  
Flexible Least Squares

scholarly journals EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH

2021 ◽  
Vol 9 (1) ◽  
pp. 29-45
Author(s):  
Sheunesu Zhou ◽  
Keyword(s):  
Economic Growth ◽  
Least Squares ◽  
South African ◽  
Government Debt ◽  
Yield Spread ◽  
Time Varying ◽  
Sovereign Risk ◽  
Bond Yield ◽  
Long Run ◽  
Flexible Least Squares

This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk.

Robust adaptive identification of linear time‐varying systems with modified least‐squares algorithm

2016 ◽  
Vol 52 (25) ◽  
pp. 2038-2040 ◽  
Author(s):  
Jinbo Wu ◽  
Wenjian Huang ◽  
Yuchen Song ◽  
Jinguo Zhang
Keyword(s):  
Least Squares ◽  
Linear Time ◽  
Time Varying ◽  
Adaptive Identification ◽  
Time Varying Systems ◽  
Least Squares Algorithm ◽  
Robust Adaptive
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