Persistence and time-varying coefficients

David G. McMillan and Mark Wohar ()

Economics Letters, 2010, vol. 108, issue 1, 85-88

Abstract: Persistence in economic variables is common. We re-examine that using a time-varying parameter model. Results support a substantial reduction in persistence, particularly, when allowing for time-variation in the constant. This has important implications for policy-making and the effect of shocks.

Keywords: Persistence; Time-varying; coefficient; State-space (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00136-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:85-88

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().