A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

George Kapetanios

No 475, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions.

Keywords: Stationarity; Random coefficient models (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2002-11-01
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:475

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