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Persistence and time-varying coefficients

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  • McMillan, David G.
  • Wohar, Mark E.

Abstract

Persistence in economic variables is common. We re-examine that using a time-varying parameter model. Results support a substantial reduction in persistence, particularly, when allowing for time-variation in the constant. This has important implications for policy-making and the effect of shocks.

Suggested Citation

  • McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
    • Handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:85-88
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    References listed on IDEAS

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