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

Ekkehart Schlicht

Discussion Papers in Economics from University of Munich, Department of Economics

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.

Keywords: time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; adaptive estimation; random walk; Kalman filter (search for similar items in EconPapers)
JEL-codes: C2 C22 C51 C52 (search for similar items in EconPapers)
Date: 2006-03
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https://epub.ub.uni-muenchen.de/61656/1/schlicht-VC-6.pdf (application/pdf)

Related works:
Working Paper: VC - A Method For Estimating Time-Varying Coefficients in Linear Models (2020)
Working Paper: VC - A Method For Estimating Time-Varying Coefficients in Linear Models (2019)
Working Paper: VC - A method for estimating time-varying coefficients in linear models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:61656

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