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Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. One realistic model assumption for such parameter variability is the Markovian model, and Kaiman filtering is then assumed to be a convenient estimator. In the thesis several aspects of using Kaiman filtering approaches to estimation in that framework are considered. The application of the Kaiman filter to estimation in econometric models is straightforward if a set of basic assumptions are satisfied, and if necessary initial specifications can be accurately made. Typically, however, these requirements can generally not be perfectly met. It is therefore of great importance to know the consequences of deviations from the basic assumptions and correct initial specifications for inference, in particular for the small sample situations typical in econometrics. If the consequences are severe it is essential to develop techniques to cope with such aspects.For estimation in interdependent systems a two stage Kaiman filter is proposed and evaluated, theoretically, as well as by a small sample Monte Carlo study, and empirically. The estimator is approximative, but with promising small sample properties. Only if the transition matrix of the parameter model and an initial parameter vector are misspecified, the performance deteriorates. Furthermore, the approach provides useful information about structural properties, and forms a basis for good short term forecasting.In a reduced form fraaework most of the basic assumptions of the traditional Kaiman filter are relaxed, and the implications are studied. The case of stochastic regressors is, under reasonable additional assumptions, shown to result in an estimator structurally similar to that due to the basic assumptions. The robustness prope, Härtill 4 delar, digitalisering@umu

Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. One realistic model assumption for such parameter variability is the Markovian model, and Kaiman filtering is then assumed to be a convenient estimator. In the thesis several aspects of using Kaiman filtering approaches to estimation in that framework are considered. The application of the Kaiman filter to estimation in econometric models is straightforward if a set of basic assumptions are satisfied, and if necessary initial specifications can be accurately made. Typically, however, these requirements can generally not be perfectly met. It is therefore of great importance to know the consequences of deviations from the basic assumptions and correct initial specifications for inference, in particular for the small sample situations typical in econometrics. If the consequences are severe it is essential to develop techniques to cope with such aspects.For estimation in interdependent systems a two stage Kaiman filter is proposed and evaluated, theoretically, as well as by a small sample Monte Carlo study, and empirically. The estimator is approximative, but with promising small sample properties. Only if the transition matrix of the parameter model and an initial parameter vector are misspecified, the performance deteriorates. Furthermore, the approach provides useful information about structural properties, and forms a basis for good short term forecasting.In a reduced form fraaework most of the basic assumptions of the traditional Kaiman filter are relaxed, and the implications are studied. The case of stochastic regressors is, under reasonable additional assumptions, shown to result in an estimator structurally similar to that due to the basic assumptions. The robustness prope, Härtill 4 delar, digitalisering@umu