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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. 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.
  2. T. Teräsvirta & C. Lin, 1995. "Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters," SFB 373 Discussion Papers 1995,28, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
  4. David Gruen & Adrian Pagan & Christopher Thompson, 1999. "The Phillips Curve in Australia," RBA Research Discussion Papers rdp1999-01, Reserve Bank of Australia.
  5. 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.
  6. repec:att:wimass:9121 is not listed on IDEAS
  7. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
  8. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  9. Carlo Grillenzoni, 1997. "Optimized adaptive prediction," Statistical Methods and Applications, Springer, vol. 6(1), pages 37-58, April.
  10. Carlo Grillenzoni, 2000. "Time-Varying Parameters Prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(1), pages 108-122, March.
  11. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1992. "Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns," Discussion Paper Series a253, Institute of Economic Research, Hitotsubashi University.
  12. Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 02 BAWP, University of Sydney Business School, Discipline of Business Analytics.
  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. 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.

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