Covariate Error Bias Effects in Dynamic Regression Model Estimation and Improvement in the Prediction by Covariate Local Clusters
We consider a dynamic linear regression model with errors-in-covariate. Neglecting such errors has some undesirable effects on the estimates obtained with the Kalman Filter. We propose a modification of the Kalman Filter where the perturbed covariate is replaced with a suitable function of a local cluster of covariates. Some results of both a simulation experiment and an application are reported.
KeywordsKalman Filter Variance Matrix Local Cluster Bias Effect Covariate Vector
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