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Identification Theory For Varying Coefficient Regression Models1

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  • Kent D. Wall

Abstract

. The identification problem for regression models with time‐varying coefficients is investigated using state‐space model representations and some results from linear dynamic systems theory. The approach taken focuses on second moment information and yields global as opposed to local asymptotic results. The form of the equivalence classes that generate the identification problem is first derived and then employed to establish the identification of one of the most natural structural specifications currently employed in econometrics.

Suggested Citation

  • Kent D. Wall, 1987. "Identification Theory For Varying Coefficient Regression Models1," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 359-371, May.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:3:p:359-371
    DOI: 10.1111/j.1467-9892.1987.tb00447.x
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    Cited by:

    1. Victor Bystrov, 2020. "Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 413-429, December.

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