Estimation in the Presence of Stochastic Parameter Variation
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- Time-varying linear regression via flexible least squares
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- A Gibbs sampling approach to estimation and prediction of time-varying-parameter models.
- A least-squares model specification test for a class of dynamic nonlinear economic models with systematically varying parameters
- Some identification and estimation results for regression models with stochastically varying coefficients
- Linear prediction and estimation methods for regression models with stationary stochastic coefficients
- Simultaneous quantile inference for non-stationary long-memory time series
- Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages
- Model transform and local parameters. Application to instantaneous attractors
- Jump-detection-based estimation in time-varying coefficient models and empirical applications
- Nonparametric estimation of time varying parameters under shape restrictions
- Departure from independence and stationarity in a handball match
- scientific article; zbMATH DE number 3874438 (Why is no real title available?)
- ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
- The generalized fluctuation test: A unifying view
- Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures
- Time varying VARs with inequality restrictions
- Time-varying cointegration and the Kalman filter
- BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
- Specification tests for time-varying coefficient models
- High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
- Semiparametric Bayesian modelling of nonstationary joint extremes: how do big tech's extreme losses behave?
- Distinguishing Time-Varying Factor Models
- Linear models with time-varying parameters: a comparison of different approaches
- Inference and prediction in a multiple-structural-break model
- A FORTRAN program for time-varying linear regression via flexible least squares
- Estimation of covariance components for random-walk regression parameters
- Non-stationary structural model with time-varying demand elasticities
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