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Time-varying parameters: a critical introduction

  • Tucci, Marco P.
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    File URL: http://www.sciencedirect.com/science/article/B6VFN-3YYTWTW-9/2/5611ed31a5f58237d33fac09010e6bb0
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    Article provided by Elsevier in its journal Structural Change and Economic Dynamics.

    Volume (Year): 6 (1995)
    Issue (Month): 2 (June)
    Pages: 237-260

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    Handle: RePEc:eee:streco:v:6:y:1995:i:2:p:237-260
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/525148

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    1. Farley, John U. & Hinich, Melvin & McGuire, Timothy W., 1975. "Some comparisons of tests for a shift in the slopes of a multivariate linear time series model," Journal of Econometrics, Elsevier, vol. 3(3), pages 297-318, August.
    2. Arnold Zellner, 1979. "Seasonal Analysis of Economic Time Series," NBER Books, National Bureau of Economic Research, Inc, number zell79-1, January.
    3. Fisher, Franklin M, 1970. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note," Econometrica, Econometric Society, vol. 38(2), pages 361-66, March.
    4. Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
    5. Havenner, A. & Swamy, P. A. V. B., 1981. "A random coefficient approach to seasonal adjustment of economic time series," Journal of Econometrics, Elsevier, vol. 15(2), pages 177-209, February.
    6. Burrows, Peter M. & Cantrell, R. Stephen, 1990. "Specification errors and the Chow test : An alternative view," Economics Letters, Elsevier, vol. 34(2), pages 131-135, October.
    7. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
    8. PAGAN, Adrian, . "Some identification and estimation results for regression models with stochastically varying coefficients," CORE Discussion Papers RP -413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
    10. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
    11. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    12. Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
    13. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
    14. Liu, Lon-Mu & Hanssens, Dominique M., 1981. "A bayesian approach to time-varying cross-sectional regression models," Journal of Econometrics, Elsevier, vol. 15(3), pages 341-356, April.
    15. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
    16. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    17. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
    18. David A. Belsley & Edwin Kuti, 1973. "Time-Varying Parameter Structures: An Overview," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 375-379 National Bureau of Economic Research, Inc.
    19. Honda, Yuzo, 1982. "On Tests of Equality between Sets of Coefficients in Two Linear Regressions When Disturbance Variances Are Unequal," The Manchester School of Economic & Social Studies, University of Manchester, vol. 50(2), pages 116-25, June.
    20. Ohtani, Kazuhiro, 1982. "Bayesian estimation of the switching regression model with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 18(2), pages 251-261, February.
    21. Raj, Baldev & Srivastava, Virender Kumar & Upadhyaya, Sushama, 1980. "The efficiency of estimating a random coefficient model," Journal of Econometrics, Elsevier, vol. 12(3), pages 285-299, April.
    22. Tucci, Marco P., 1990. "A note on flexible least squares," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 175-182, February.
    23. Phillips, G. D. A. & McCabe, B. P., 1983. "The independence of tests for structural change in regression models," Economics Letters, Elsevier, vol. 12(3-4), pages 283-287.
    24. Barr Rosenberg, 1973. "A Survey Of Stochastic Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 380-396 National Bureau of Economic Research, Inc.
    25. Tsurumi, Hiroki & Shiba, Tsunemasa, 1982. "A bayesian analysis of a random coefficient model in a simple keynesian system," Journal of Econometrics, Elsevier, vol. 18(2), pages 239-249, February.
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