VC: A method for estimating time-varying coefficients in linear models
Year of publication: |
2019
|
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Authors: | Schlicht, Ekkehart |
Publisher: |
München : Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät |
Subject: | time-series analysis | linear model | state-space estimation | time-varying coefficients | moments estimation | Kalman filtering | penalized least squares |
Series: | Munich Discussion Paper ; 2019-3 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.59143 [DOI] 1685743943 [GVK] hdl:10419/224120 [Handle] |
Classification: | C2 - Econometric Methods: Single Equation Models ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing |
Source: |
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VC - A Method For Estimating Time-Varying Coefficients in Linear Models
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