VC - A method for estimating time-varying coefficients in linear models

Arbeitspapier

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood estimator.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics Discussion Papers ; No. 2019-22

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection
• Thema: time-series analysis ; linear model ; state-space estimation ; time-varying coefficients ; moments estimation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schlicht, Ekkehart
• Ereignis: Veröffentlichung
• (wer): Kiel Institute for the World Economy (IfW)
• (wo): Kiel
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/194874