VC - A Method For Estimating Time-Varying Coefficients in Linear Models

Schlicht, Ekkehart (März 2006): VC - A Method For Estimating Time-Varying Coefficients in Linear Models. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2006

Abstract

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood estimator.

• Dokumententyp: Paper
• Publikationsform: Submitted Version
• Keywords: time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; adaptive estimation; random walk; Kalman filter
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Munich Discussion Papers in Economics ; Volkswirtschaft > Munich Discussion Papers in Economics > Mathematische Methoden ; Volkswirtschaft > Munich Discussion Papers in Economics > Statistische Methoden ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: C2, C22, C51, C52
• Sprache: Englisch

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