FLS swMATH ID: 24350 Software Authors: Kalaba, Robert; Rasakhoo, Nima; Tesfatsion, Leigh Description: FLS (flexible least squares): A FORTRAN program for time-varying linear regression via flexible least squares. Suppose the prior theoretical beliefs concerning the generation of a time-series data set take two forms: a prior measurement specification that the data has been generated by a linear regression model; and a prior dynamic specification that the regression coefficients evolve only slowly over time, if at all. The objective is to understand the actual relationship between the observed data and the regressor variables. In particular, do the estimated regression coefficients display any systematic time-variation? Is time-constancy a reasonably satisfactory approximation? The ”flexible least squares” solution is defined to be the collection of all coefficient sequences estimates which yield vector- minimal sums of squared residual measurement and dynamic modelling errors for the given observations - i.e. which attain the “residual efficiency frontier”. A user-friendly FORTRAN program (FLS) is now available for generating the frontier estimates. Homepage: https://www.sciencedirect.com/science/article/pii/0167947389900297 Keywords: time-varying coefficients; smoothness prior; simulation experiments; time-series; flexible least squares; FORTRAN program Related Software: SHAZAM Cited in: 6 Publications Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year A FORTRAN program for time-varying linear regression via flexible least squares. Zbl 0726.62153Kalaba, Robert; Rasakhoo, Nima; Tesfatsion, Leigh 1989 Cited by 4 Authors 5 Tesfatsion, Leigh 4 Kalaba, Robert E. 1 Rasakhoo, Nima 1 Veitch, John M. Cited in 4 Serials 2 Journal of Economic Dynamics & Control 2 Computational Statistics and Data Analysis 1 Applied Mathematics and Computation 1 Journal of Optimization Theory and Applications Cited in 3 Fields 6 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year