IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS1

Kent D. Wall

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 359-371

Abstract: Abstract. The identification problem for regression models with time‐varying coefficients is investigated using state‐space model representations and some results from linear dynamic systems theory. The approach taken focuses on second moment information and yields global as opposed to local asymptotic results. The form of the equivalence classes that generate the identification problem is first derived and then employed to establish the identification of one of the most natural structural specifications currently employed in econometrics.

Date: 1987
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