Efficient Estimation of the Parameter Path in Unstable Time Series Models
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References listed on IDEAS
- Andrews, Donald W.K., 1992. "Generic Uniform Convergence," Econometric Theory, Cambridge University Press, vol. 8(02), pages 241-257, June.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
More about this item
KeywordsTime Varying Parameters; Non-linear Non-Gaussian Smoothing; Weighted Average Risk; Weighted Average Power; Posterior Approximation; Contiguity;
- 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-ALL-2007-03-17 (All new papers)
- NEP-ECM-2007-03-17 (Econometrics)
- NEP-ETS-2007-03-17 (Econometric Time Series)
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