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Citations for "Estimation in the Presence of Stochastic Parameter Variation"

by Cooley, Thomas F & Prescott, Edward C

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  1. Verónica Mies M. & Raimundo Soto M., 2000. "Money Demand: Theory, Evidence, Results," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(3), pages 5-32, December.
  2. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.
  3. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  4. Koop, Gary & Potter, Simon M., 2011. "Time varying VARs with inequality restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1126-1138, July.
  5. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  6. Kim, Man-Keun & Lee, Andrew C., 2005. "Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply," 2005 Annual meeting, July 24-27, Providence, RI 19124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  7. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
  8. Thomas F. Cooley & Kent D. Wall, 1976. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," NBER Working Papers 0128, National Bureau of Economic Research, Inc.
  9. Easterly, William R & Mauro, Paolo & Schmidt-Hebbel, Klaus, 1995. "Money Demand and Seigniorage-Maximizing Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 583-603, May.
  10. Ward, Ronald W. & Tilley, Daniel S., 1980. "Time Varying Parameters With Random Components: The Orange Juice Industry," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 12(02), December.
  11. Arrau, Patricio & de Gregorio, Jose, 1991. "Financial innovation and money demand : theory and empirical implementation," Policy Research Working Paper Series 585, The World Bank.
  12. repec:dgr:uvatin:1997014 is not listed on IDEAS
  13. Jean Boivin, 2005. "Has US Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," NBER Working Papers 11314, National Bureau of Economic Research, Inc.
  14. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 2006-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  15. N. Groenewold & P. Fraser, . "Forecasting Beta: How well does the 'five year rule of thumb' do? Creation Date: 1999," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
  16. Mandler, Martin, 2007. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MPRA Paper 13498, University Library of Munich, Germany, revised Jan 2009.
  17. repec:spo:wpecon:info:hdl:2441/1461 is not listed on IDEAS
  18. Stock, James & Feldstein, Martin, 1996. "Measuring Money Growth When Financial Markets are Changing," Scholarly Articles 2799053, Harvard University Department of Economics.
  19. Prem Laumas & Khan Mohabbat, 1980. "Money and the production function: A case study of France," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(4), pages 685-696, December.
  20. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  21. Terui, N. & van Dijk, H.K., 1999. "Combined forecasts from linear and nonlinear time series models," Econometric Institute Research Papers EI 9949-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. Jan Marc Berk, 1999. "Measuring inflation expectations: a survey data approach," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1467-1480.
  23. repec:dgr:uvatin:2097014 is not listed on IDEAS
  24. Min, Chung-ki, 1998. "A Gibbs sampling approach to estimation and prediction of time-varying-parameter models," Computational Statistics & Data Analysis, Elsevier, vol. 27(2), pages 171-194, April.
  25. Douglas Staiger & James H. Stock & Mark W. Watson, 1996. "How Precise are Estimates of the Natural Rate of Unemployment?," NBER Working Papers 5477, National Bureau of Economic Research, Inc.
  26. G. S. Laumas, 1983. "The Demand for Money in the Recent Period," Eastern Economic Journal, Eastern Economic Association, vol. 9(1), pages 1-5, Jan-Mar.
  27. Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1955-2006," MPRA Paper 2340, University Library of Munich, Germany.
  28. repec:dgr:uvatin:19970014 is not listed on IDEAS
  29. Caporale, Tony, 1998. "The impact of monetary regime changes: Some exchange rate evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 35(1), pages 85-94, March.
  30. Arrau, Patricio & De Gregorio, Jose & Reinhart, Carmen M. & Wickham, Peter, 1995. "The demand for money in developing countries: Assessing the role of financial innovation," Journal of Development Economics, Elsevier, vol. 46(2), pages 317-340, April.
  31. George W. Evans & Garey Ramey, 2001. ""Adaptive Expectations, Underparameterization and the Lucas Critique," University of Oregon Economics Department Working Papers 2001-8, University of Oregon Economics Department, revised 01 Dec 2004.
  32. Claveria, Oscar & Pons, Ernest & Ramos, Raul, 2007. "Business and consumer expectations and macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 47-69.
  33. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  34. Boyd, Roy & Caporale, Tony, 1997. "Is there a liquidity effect? An investigation using the Kalman filter," Journal of Policy Modeling, Elsevier, vol. 19(6), pages 627-634, December.
  35. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, vol. 37(C), pages 451-463.
  36. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
  37. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  38. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series 160, Institute for Advanced Studies.
  39. Silvia Ferrini & Marco P. Tucci, 2011. "Evaluating Research Activity:Impact Factor vs. Research Factor," Department of Economics University of Siena 614, Department of Economics, University of Siena.
  40. Matthieu Lemoine, 2006. "Annex A5 : A model of the stochastic convergence between euro area business cycles," Sciences Po publications info:hdl:2441/1461, Sciences Po.
  41. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  42. Li, Gang & Song, Haiyan & Witt, Stephen F., 2006. "Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting," International Journal of Forecasting, Elsevier, vol. 22(1), pages 57-71.
  43. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  44. James H. Stock & Martin Feldstein, 1994. "Measuring Money Growth When Financial Markets Are Changing," NBER Working Papers 4888, National Bureau of Economic Research, Inc.
  45. Bakhodir A Ergashev, 2004. "Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures," Econometrics 0402001, EconWPA, revised 16 Mar 2004.
  46. Sudhanshu Kumar & Naveen Srinivasan & Muthiah Ramachandran, 2012. "A time-varying parameter model of inflation in India," Indian Growth and Development Review, Emerald Group Publishing, vol. 5(1), pages 25-50, April.
  47. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  48. Raimundo Soto, . "Nonlinearities in the Demand for money: A Neural Network Approach," ILADES-Georgetown University Working Papers inv107, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
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