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Time-varying parameters: a critical introduction

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  • Tucci, Marco P.
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    Article provided by Elsevier in its journal Structural Change and Economic Dynamics.

    Volume (Year): 6 (1995)
    Issue (Month): 2 (June)
    Pages: 237-260

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    Handle: RePEc:eee:streco:v:6:y:1995:i:2:p:237-260

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    Web page: http://www.elsevier.com/locate/inca/525148

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    1. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
    2. Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
    3. Havenner, A. & Swamy, P. A. V. B., 1981. "A random coefficient approach to seasonal adjustment of economic time series," Journal of Econometrics, Elsevier, vol. 15(2), pages 177-209, February.
    4. PAGAN, Adrian, . "Some identification and estimation results for regression models with stochastically varying coefficients," CORE Discussion Papers RP -413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Tucci, Marco P., 1990. "A note on flexible least squares," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 175-182, February.
    6. Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    8. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    9. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
    10. Barr Rosenberg, 1973. "A Survey Of Stochastic Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 380-396 National Bureau of Economic Research, Inc.
    11. Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
    12. Burrows, Peter M. & Cantrell, R. Stephen, 1990. "Specification errors and the Chow test : An alternative view," Economics Letters, Elsevier, vol. 34(2), pages 131-135, October.
    13. Phillips, G. D. A. & McCabe, B. P., 1983. "The independence of tests for structural change in regression models," Economics Letters, Elsevier, vol. 12(3-4), pages 283-287.
    14. Arnold Zellner, 1978. "Seasonal Analysis of Economic Time Series," NBER Books, National Bureau of Economic Research, Inc, number zell78-1, July.
    15. Honda, Yuzo, 1982. "On Tests of Equality between Sets of Coefficients in Two Linear Regressions When Disturbance Variances Are Unequal," The Manchester School of Economic & Social Studies, University of Manchester, vol. 50(2), pages 116-25, June.
    16. Farley, John U. & Hinich, Melvin & McGuire, Timothy W., 1975. "Some comparisons of tests for a shift in the slopes of a multivariate linear time series model," Journal of Econometrics, Elsevier, vol. 3(3), pages 297-318, August.
    17. Liu, Lon-Mu & Hanssens, Dominique M., 1981. "A bayesian approach to time-varying cross-sectional regression models," Journal of Econometrics, Elsevier, vol. 15(3), pages 341-356, April.
    18. Tsurumi, Hiroki & Shiba, Tsunemasa, 1982. "A bayesian analysis of a random coefficient model in a simple keynesian system," Journal of Econometrics, Elsevier, vol. 18(2), pages 239-249, February.
    19. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
    20. Fisher, Franklin M, 1970. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note," Econometrica, Econometric Society, vol. 38(2), pages 361-66, March.
    21. Raj, Baldev & Srivastava, Virender Kumar & Upadhyaya, Sushama, 1980. "The efficiency of estimating a random coefficient model," Journal of Econometrics, Elsevier, vol. 12(3), pages 285-299, April.
    22. Ohtani, Kazuhiro, 1982. "Bayesian estimation of the switching regression model with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 18(2), pages 251-261, February.
    23. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
    24. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
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    Cited by:
    1. Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Society for Computational Economics, vol. 27(4), pages 533-558, June.
    2. Li, Gang & Song, Haiyan & Witt, Stephen F., 2006. "Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting," International Journal of Forecasting, Elsevier, vol. 22(1), pages 57-71.

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