Abstract
Abstract This paper presents a method of the parameter adaptive fore-castion which is suitable for economic system. This method first estimates the time varying parameters of the model using Kalman smoothing. Then predicts the time varying parameters of the model using segment curve fitting Kalman filtering model according to the estimating time-varying parameters sequence, at last, forecasts the endogenous variables of the model. Good results are shwon when the method is applied to the forecas-tion of Chinese energy demand and macroeconomics.
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