ORCID: https://orcid.org/0000-0001-8227-5451
(March 2006):
Variance Estimation in a Random Coefficients Model.
Discussion Papers in Economics
2006-12
[PDF, 1MB]

Abstract
This papers describes an estimator for a standard state-space model with coefficients generated by a random walk.The paper has been presented at the Econometric Society European Meeting 1989 in Munich, Germany
Item Type: | Paper |
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Keywords: | time-varying coefficients; adaptive estimation; random walk; Kalman filter; state-space model |
Faculties: | Economics > Munich Discussion Papers in Economics > Statistical Methods Economics > Chairs > Chair of Institutional Economics (closed) |
Subjects: | 300 Social sciences > 300 Social sciences, sociology and anthropology 300 Social sciences > 330 Economics |
JEL Classification: | C2, C22, C51, C52 |
URN: | urn:nbn:de:bvb:19-epub-59143-2 |
Language: | English |
Item ID: | 59143 |
Date Deposited: | 26. Nov 2018, 08:09 |
Last Modified: | 10. Nov 2020, 09:09 |
References: | Schlicht, Ekkehart (1985): Isolation and Aggregation in Economics. With annotations 2017., https://epub.ub.uni-muenchen.de/38821 |