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A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

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Author Info
George Kapetanios () (Queen Mary, University of London)

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Abstract

In 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.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp475.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 475.

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Date of creation: Nov 2002
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Handle: RePEc:qmw:qmwecw:wp475

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Related research
Keywords: Stationarity Random coefficient models

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

This paper has been announced in the following NEP Reports:

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