Giraitis, L.; Kapetanios, G.; Yates, T. - In: Journal of Econometrics 179 (2014) 1, pp. 46-65
Recently, there has been considerable work on stochastic time-varying coefficient models as vehicles for modelling structural change in the macroeconomy with a focus on the estimation of the unobserved paths of random coefficient processes. The dominant estimation methods, in this context, are...