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Schlicht, Ekkehart (March 2006): VC - A Method For Estimating Time-Varying Coefficients in Linear Models. Discussion Papers in Economics 2006
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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.