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Time-varying parameters: a critical introduction

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  • Tucci, Marco P.
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    File URL: http://www.sciencedirect.com/science/article/B6VFN-3YYTWTW-9/2/5611ed31a5f58237d33fac09010e6bb0
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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. 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.
    2. 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.
    3. Pagan, Adrian, 1980. "Some identification and estimation results for regression models with stochastically varying coefficients," Journal of Econometrics, Elsevier, vol. 13(3), pages 341-363, August.
    4. Tucci, Marco P., 1990. "A note on flexible least squares," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 175-182, February.
    5. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    6. Arnold Zellner, 1978. "Seasonal Analysis of Economic Time Series," NBER Books, National Bureau of Economic Research, Inc, number zell78-1.
    7. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
    8. 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.
    9. P.A.V.B. Swamy & P.A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
    10. 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.
    11. 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.
    12. Kalaba, Robert & Tesfatsion, Leigh, 1988. "The flexible least squares approach to time-varying linear regression," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 43-48, March.
    13. 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.
    14. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
    15. 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.
    16. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    17. 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.
    18. 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.
    19. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
    20. 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.
    21. Ohtani, Kazuhiro, 1982. "Bayesian estimation of the switching regression model with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 18(2), pages 251-261, February.
    22. 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.
    23. 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.
    24. 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.
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    Cited by:
    1. 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.
    2. 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.

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