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Time-Varying Coefficient Estimation in the Presence of Non-Stationarity

Author

Listed:
  • Stephen Hall
  • P.A.V.B. Swamy
  • George S. Tavlas
  • George Hondroyiannis

Abstract

Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the issue of non-stationarity. This paper outlines the basic stages of the technique and discusses in detail how the issue of non-stationarity and cointegration affect each stage of the TVC estimation procedure.

Suggested Citation

  • Stephen Hall & P.A.V.B. Swamy & George S. Tavlas & George Hondroyiannis, 2009. "Time-Varying Coefficient Estimation in the Presence of Non-Stationarity," Discussion Papers in Economics 09/13, Division of Economics, School of Business, University of Leicester.
    • Handle: RePEc:lec:leecon:09/13
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    File URL: https://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp09-13.pdf
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    References listed on IDEAS

    as
    1. Basmann, R. L., 1988. "Causality tests and observationally equivalent representations of econometric models," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 69-104.
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    Cited by:

    1. Hall, Stephen G. & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S., 2013. "Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 1-20.

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    More about this item

    Keywords

    Specification Problem; Correct interpretation of coefficients; Appropriate assumption; Time-varying coefficient model; Coefficient driver;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

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