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

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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

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