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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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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number -413.

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Handle: RePEc:cor:louvrp:-413

Note: In : Journal of Econometrics, 13, 341-363, 1980
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Cited by:
  1. repec:att:wimass:9121 is not listed on IDEAS
  2. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0434, Faculty of Economics, University of Cambridge.
  3. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, Elsevier, vol. 90(2), pages 193-213, June.
  4. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
  5. 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.
  6. 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, Institute of Economic Research, Hitotsubashi University a253, Institute of Economic Research, Hitotsubashi University.
  7. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI wp2004_0409, CEMFI.
  8. Guðmundur Guðmundsson, 1998. "A model of inflation with variable time lags," Economics wp02, Department of Economics, Central bank of Iceland.
  9. Carlo Grillenzoni, 1997. "Optimized adaptive prediction," Statistical Methods and Applications, Springer, Springer, vol. 6(1), pages 37-58, April.
  10. Gruen, David & Pagan, Adrian & Thompson, Christopher, 1999. "The Phillips curve in Australia," Journal of Monetary Economics, Elsevier, Elsevier, vol. 44(2), pages 223-258, October.
  11. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 6(2), pages 237-260, June.
  12. 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, EconWPA 9712007, EconWPA.
  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.
  15. Carlo Grillenzoni, 2000. "Time-Varying Parameters Prediction," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 52(1), pages 108-122, March.
  16. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 07/452, Ghent University, Faculty of Economics and Business Administration.

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