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Time-Varying Parameters in Econometrics: The editor’s foreword

Author

Listed:
  • Blasques, F.
  • Harvey, A.C.
  • Koopman, S.J.
  • Lucas, A.

Abstract

The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score-driven models is a sub-class. We will introduce the Themed Issue and review its contributions.

Suggested Citation

  • Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A., 2023. "Time-Varying Parameters in Econometrics: The editor’s foreword," Journal of Econometrics, Elsevier, vol. 237(2).
  • Handle: RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001173
    DOI: 10.1016/j.jeconom.2023.03.007
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    More about this item

    Keywords

    Observation-driven time series models; Score-driven time series models; Financial econometrics;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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