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A Control Estimation Approach to Time-varying Parameter Models

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  • Yukio Uchida

    (Kobe University)

Abstract

This paper presents an effective control estimation approach to the adaptive nonlinear econometric models in time-varying structures by using small sample time-series data. We can observe that the estimated errors of endogenous variables are very small based on the final test, and that the proposed method finds a satisfactory solution to both the under-size problem and the structural change problem in the econometric literature.

Suggested Citation

  • Yukio Uchida, 1978. "A Control Estimation Approach to Time-varying Parameter Models," Kobe Economic & Business Review, Research Institute for Economics & Business Administration, Kobe University, vol. 24, pages 69-84.
    • Handle: RePEc:kob:review:1978::v:24:p:69-84
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