Estimating Time-Varying Coefficients With the VC Program
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References listed on IDEAS
- Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
- Schlicht, Ekkehart, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics, University of Munich, Department of Economics.
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- Cesar M. Rodriguez, 2014. "Financial development, fiscal policy and volatility: Their effects on growth," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(2), pages 223-266, March.
- Wolfgang Franz, 2005. "Will the (German) NAIRU Please Stand Up?," German Economic Review, Verein für Socialpolitik, vol. 6(2), pages 131-153, May.
More about this item
KeywordsKalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2003-07-10 (Computational Economics)
- NEP-ECM-2003-07-12 (Econometrics)
- NEP-ETS-2003-07-10 (Econometric Time Series)
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