Efficient estimation of the parameter path in unstable time series models

DOI10.1111/J.1467-937X.2010.00603.XMaRDI QIDQ3065364zbMATH OpenOpenAlexFDO

Authors Ulrich K. Müller, Philippe-Emmanuel Petalas

Publication date 5 January 2011

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2010.00603.x

Mathematics Subject Classification ID

Statistical decision theory (62C99) Non-Markovian processes: hypothesis testing (62M07) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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(11)

• Time-varying instrumental variable estimation
• Pre and post break parameter inference
• On idiosyncratic stochasticity of financial leverage effects
• Inference on stochastic time-varying coefficient models
• Model comparisons in unstable environments
• Parametric and semi-parametric efficient tests for parameter instability
• The distribution of rolling regression estimators
• Bellman filtering and smoothing for state-space models
• Testing for parameter changes in linear state space models
• Local projections in unstable environments
• Modeling and inference for infectious disease dynamics: a likelihood-based approach

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