Ciapanna, Emanuela; Taboga, Marco - In: Econometrics 7 (2019) 3, pp. 1-32
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...