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

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

• Item Type: Paper
• Form of publication: Submitted Version
• Keywords: time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; adaptive estimation; random walk; Kalman filter
• Faculties: Economics; Economics > Munich Discussion Papers in Economics; Economics > Munich Discussion Papers in Economics > Mathematical Methods; 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
• Language: English

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