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Some identification and estimation results for regression models with stochastically varying coefficients

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  • Pagan, Adrian

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 13 (1980)
Issue (Month): 3 (August)
Pages: 341-363

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Handle: RePEc:eee:econom:v:13:y:1980:i:3:p:341-363

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
  2. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  3. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," Review of Economic Studies, Oxford University Press, vol. 78(2), pages 429-457.
  4. McNelis, Paul D. & Schmidt-Hebbel, Klaus, 1991. "Volatility reversal from interest rates to the real exchange rate : financial liberalization in Chile, 1975-82," Policy Research Working Paper Series 697, The World Bank.
  5. Cheng Hsiao & M. Hashem Pesaran, 2004. "Random Coefficient Panel Data Models," IEPR Working Papers 04.2, Institute of Economic Policy Research (IEPR).
  6. Guðmundur Guðmundsson, 1998. "A model of inflation with variable time lags," Economics wp02, Department of Economics, Central bank of Iceland.
  7. Gruen, David & Pagan, Adrian & Thompson, Christopher, 1999. "The Phillips curve in Australia," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 223-258, October.
  8. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc.
  9. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
  10. Carlo Grillenzoni, 2000. "Time-Varying Parameters Prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(1), pages 108-122, March.
  11. Carlo Grillenzoni, 1997. "Optimized adaptive prediction," Statistical Methods and Applications, Springer, vol. 6(1), pages 37-58, April.
  12. Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
  13. Solimano, Andres, 1989. "How private investment reacts to changing macroeconomic conditions : the case of Chile in the 1980s," Policy Research Working Paper Series 212, The World Bank.
  14. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, EconWPA.

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