Time-Varying Coefficient Estimation in the Presence of Non-Stationarity

Stephen Hall, P.A.V.B. Swamy, George Tavlas and George Hondroyiannis

No 09/13, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the issue of non-stationarity. This paper outlines the basic stages of the technique and discusses in detail how the issue of non-stationarity and cointegration affect each stage of the TVC estimation procedure.

Keywords: Specification Problem; Correct interpretation of coefficients; Appropriate assumption; Time-varying coefficient model; Coefficient driver (search for similar items in EconPapers)
JEL-codes: C13 C19 C22 (search for similar items in EconPapers)
Date: 2009-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp09-13.pdf (application/pdf)

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:lec:leecon:09/13

Ordering information: This working paper can be ordered from
https://www2.le.ac.u ... -1/discussion-papers

Access Statistics for this paper

More papers in Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester School of Business, University of Leicester, University Road. Leicester. LE1 7RH. UK Provider-Homepage: https://le.ac.uk/school-of-business. Contact information at EDIRC.
Bibliographic data for series maintained by Abbie Sleath ().