A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
AbstractIn this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions. J.E.L. classification codes.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 475.
Date of creation: Nov 2002
Date of revision:
Stationarity; Random coefficient models;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-02 (All new papers)
- NEP-ECM-2002-12-10 (Econometrics)
- NEP-ETS-2002-12-02 (Econometric Time Series)
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