The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis
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Bibliographic InfoPaper provided by University of Washington, Department of Economics in its series Working Papers with number 88-10.
Length: 26 pages
Date of creation: 1988
Date of revision:
economic models ; econometrics ; tests;
Other versions of this item:
- Nelson, C.R. & Kim, C-J., 1988. "The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis," Discussion Papers in Economics at the University of Washington 88-10, Department of Economics at the University of Washington.
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- Marwan Elkhoury, 2005. "A Time-Varying Parameter Model of A Monetary Policy Rule for Switzerland. The Case of the Lucas and Friedman Hypothesis," IHEID Working Papers 01-2006, Economics Section, The Graduate Institute of International Studies.
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