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

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.

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Year of publication:	2019
Authors:	Schlicht, Ekkehart
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	time-series analysis \| linear model \| state-space estimation \| time-varying coefficients \| moments estimation

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Series:	Economics Discussion Papers ; 2019-22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1662969910 [GVK] hdl:10419/194874 [Handle] RePEc:zbw:ifwedp:201922 [RePEc]
Classification:	C2 - Econometric Methods: Single Equation Models ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10011991245