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Time-varying coefficient estimation in the presence of non-stationarity

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posted on 02.03.2010, 12:22 by Stephen G. Hall, P. A. V. B. Swamy, George S. Tavlas, George Hondroyiannis
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.

History

Publisher

Dept. of Economics, University of Leicester

Available date

02/03/2010

Publisher version

http://www.le.ac.uk/economics/research/discussion/papers2009.html

Book series

Papers in Economics;09/13

Language

en