VC - A method for estimating time-varying coefficients in linear models

Ekkehart Schlicht

No 2019-22, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

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 (search for similar items in EconPapers)
JEL-codes: C2 C22 C32 C51 C52 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Downloads: (external link)
http://www.economics-ejournal.org/economics/discussionpapers/2019-22
https://www.econstor.eu/bitstream/10419/194874/1/1662969910.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 (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201922

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