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Generalized Least Squares Applied to Time Varying Parameter Models

In: Annals of Economic and Social Measurement, Volume 6, number 3

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  • Donald T. Sant

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  • Donald T. Sant, 1977. "Generalized Least Squares Applied to Time Varying Parameter Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 3, pages 301-314, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:10557
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    References listed on IDEAS

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    1. Cooley, Thomas F & Prescott, Edward C, 1973. "Tests of an Adaptive Regression Model," The Review of Economics and Statistics, MIT Press, vol. 55(2), pages 248-256, May.
    2. Cooley, Thomas F & Prescott, Edward C, 1973. "An Adaptive Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(2), pages 364-371, June.
    3. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-184, January.
    4. Thomas F. Cooley & Barr Rosenberg & Kent D. Wall, 1977. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 4, pages 453-456, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Möller, Joachim, 1988. "Time-varying coefficients in a simultaneous equation model: Theoretical concept and some simulation results," Discussion Papers, Series I 241, University of Konstanz, Department of Economics.
    2. Chavas, Jean-Paul, 1982. "A Study Of Structural Change: The Demand For Meat," 1982 Annual Meeting, August 1-4, Logan, Utah 279153, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Akihiko Noda, 2022. "Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models," Papers 2208.01270, arXiv.org.
    4. Hadjiantoni, Stella & Kontoghiorghes, Erricos John, 2022. "An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 1-18.
    5. Al-Kahtani, Safer H. & Sofian, Badr El-din E., 1995. "Estimating preference change in meat demand in Saudi Arabia," Agricultural Economics, Blackwell, vol. 12(1), pages 91-98, April.
    6. V. Vance Roley & Simon M. Wheatley, 1990. "Temporal Variation in the Interest-Rate Response to Money Announcements," NBER Working Papers 3471, National Bureau of Economic Research, Inc.
    7. Abonazel, Mohamed R., 2016. "Generalized Random Coefficient Estimators of Panel Data Models: Asymptotic and Small Sample Properties," MPRA Paper 72586, University Library of Munich, Germany.

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