Iterative and recursive estimation in structural nonadaptive models. From: Journal of Business & Economic Statistics | Date: October 1, 2003| Author: | COPYRIGHT 2003 American Statistical Association. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan.  All inquiries regarding rights should be directed to the Gale Group.Copyright information

An inference method, called latent backfitting, is proposed. This method appears well suited for econometric models where the structural relationships of interest define the observed endogenous variables as a known function of unobserved state variables and unknown parameters. This nonlinear state-space specification paves the way for iterative or recursive EM-like strategies. In the E steps, the state variables are forecasted given the observations and a value of the parameters. In the M steps, these forecasts are used to deduce estimators of the unknown parameters from the ...

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