The Stochastic Coefficients Approach to Econometric Modeling, Part II: Description and Motivation
AbstractA general stochastic coefficients model developed by Swamy and Tinsley serves as a reference point for discussion in this second of a series of three articles Other well-known specifications are related to the model. The authors weigh the advantages and disadvantages of stochastic coefficients and suggest procedures to address the identification and estimation problem with weaker and noncontradictory assumptions They argue that the real aim of inference is prediction and that "imprecise" parameter estimates of a coherent model are acceptable if they forecast well.
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Bibliographic InfoArticle provided by United States Department of Agriculture, Economic Research Service in its journal Journal of Agricultural Economics Research.
Volume (Year): (1988)
Issue (Month): 3 ()
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Stochastic coefficients; fixed coefficients; time series analysis; Bayesian inference; identification; coherence; estimation; Financial Economics; Production Economics; Research and Development/Tech Change/Emerging Technologies;
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- Kashyap, A. K. & Swamy, P. A. V. B. & Mehta, J. S. & Porter, R. D., 1988. "Further results on estimating linear regression models with partial prior information," Economic Modelling, Elsevier, vol. 5(1), pages 49-57, January.
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