Estimation in the Presence of Stochastic Parameter Variation

DOI10.2307/1911389MaRDI QIDQ4089701zbMATH OpenOpenAlexFDO

Authors Thomas F. Cooley, Edward C. Prescott

Publication date 1976

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8410624e7adabce0ea0fc486712021e8269424e2

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cited in

(26)

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• Nonparametric estimation of time varying parameters under shape restrictions
• Departure from independence and stationarity in a handball match
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• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• New results in Sridhar filtering theory: The discrete case
• Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures
• Non-stationary structural model with time-varying demand elasticities
• A Gibbs sampling approach to estimation and prediction of time-varying-parameter models.
• Specification tests for time-varying coefficient models
• Simultaneous quantile inference for non-stationary long-memory time series
• Linear prediction and estimation methods for regression models with stationary stochastic coefficients
• Jump-detection-based estimation in time-varying coefficient models and empirical applications
• Some identification and estimation results for regression models with stochastically varying coefficients
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Time varying VARs with inequality restrictions
• Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages
• Estimation of covariance components for random-walk regression parameters
• BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
• A FORTRAN program for time-varying linear regression via flexible least squares
• Time-varying cointegration and the Kalman filter
• A least-squares model specification test for a class of dynamic nonlinear economic models with systematically varying parameters
• scientific article; zbMATH DE number 3874438 (Why is no real title available?)
• Inference and prediction in a multiple-structural-break model
• Time-varying linear regression via flexible least squares

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