THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS

Charles Nelson and Chang-Jin Kim ()

Working Papers from University of Washington, Department of Economics

Keywords: economic models; econometrics; tests (search for similar items in EconPapers)
Pages: 26 pages
Date: 1988
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Working Paper: THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS (1988)
Working Paper: The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis (1988)
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