Linear models with time-varying parameters: a comparison of different approaches
Author
Abstract
Suggested Citation
DOI: 10.1007/s00180-023-01452-3
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- K. S. Chan & H. Tong, 1986. "On Estimating Thresholds In Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 179-190, May.
- Liudas Giraitis & George Kapetanios & Tony Yates, 2018.
"Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(2), pages 129-149, March.
- Liudas Giraitis & George Kapetanios & Tony Yates, 2015. "Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models," Working Papers 767, Queen Mary University of London, School of Economics and Finance.
- Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011. "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
- Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021.
"Time-varying instrumental variable estimation,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
- Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
- Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge Books,
Cambridge University Press, number 9780521405737, November.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, November.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, June.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2019.
"Commodity prices and fiscal policy design: Procyclical despite a rule,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 161-180, March.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2015. "Commodity prices and fiscal policy design: Procyclical despite a rule," Working Papers No 5/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjornland & Leif Anders Thorsrud, 2016. "Commodity prices and fiscal policy design: Procyclical despite a rule," CAMA Working Papers 2016-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- João Tovar Jalles, 2019. "On the Time‐Varying Relationship between Unemployment and Output: What shapes it?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(5), pages 605-630, November.
- Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers Archive 11190, Iowa State University, Department of Economics.
- Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers Archive 11196, Iowa State University, Department of Economics.
- Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
- Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
- Lucchetti, Riccardo, 2011. "State Space Methods in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i11).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Riccardo Lucchetti & Francesco Valentini, 2023.
"Kernel-based time-varying IV estimation: handle with care,"
Empirical Economics, Springer, vol. 65(6), pages 3001-3026, December.
- Lucchetti, Riccardo & Valentini, Francesco, 2021. "Kernel-based Time-Varying IV estimation: handle with care," MPRA Paper 110033, University Library of Munich, Germany.
- Leif Anders Thorsrud, 2020.
"Words are the New Numbers: A Newsy Coincident Index of the Business Cycle,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 393-409, April.
- Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Paper 2016/21, Norges Bank.
- Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Papers No 4/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
- Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021.
"Time-varying instrumental variable estimation,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
- Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
- Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
- Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
- Yu Bai & Massimiliano Marcellino & George Kapetanios, 2023. "Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors," Monash Econometrics and Business Statistics Working Papers 13/23, Monash University, Department of Econometrics and Business Statistics.
- Zongwu Cai & Xiyuan Liu, 2021. "Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202106, University of Kansas, Department of Economics, revised Jan 2021.
- Mikihito Nishi, 2024. "Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression," Papers 2406.14046, arXiv.org, revised Mar 2025.
- David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.
- Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004.
"Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles,"
Borradores de Economia
3244, Banco de la Republica.
- Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
- Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
- Leif Anders Thorsrud, 2016.
"Nowcasting using news topics Big Data versus big bank,"
Working Papers
No 6/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Leif Anders Thorsrud, 2016. "Nowcasting using news topics. Big Data versus big bank," Working Paper 2016/20, Norges Bank.
- Terasvirta, Timo, 2006.
"Forecasting economic variables with nonlinear models,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457,
Elsevier.
- Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
- Baillie, Richard T. & Cho, Dooyeon, 2016.
"Assessing Euro crises from a time varying international CAPM approach,"
Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 197-208.
- Richard T. Baillie & Dooyeon Cho, 2016. "Assessing Euro Crises from a Time Varying International CAPM Approach," Working Paper series 16-03, Rimini Centre for Economic Analysis.
- George Kapetanios & Stephen Millard & Katerina Petrova & Simon Price, 2018.
"Time varying cointegration and the UK great ratios,"
CAMA Working Papers
2018-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon, 2019. "Time-varying cointegration and the UK great ratios," Bank of England working papers 789, Bank of England.
- Kapetanios, George & Millard, Stephen & Price, Simon & Petrova, Katerina, 2018. "Time varying cointegration and the UK Great Ratios," Essex Finance Centre Working Papers 23320, University of Essex, Essex Business School.
- Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
- Boldea, Otilia & Hall, Alastair R., 2013.
"Estimation and inference in unstable nonlinear least squares models,"
Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
- Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The University of Manchester.
- Boldea, Otilia & Hall, Alastair R., 2010. "Estimation and inference in unstable nonlinear least squares models," MPRA Paper 23150, University Library of Munich, Germany.
- Otilia Boldea & Alastair R. Hall, 2012. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 174, Economics, The University of Manchester.
More about this item
Keywords
Time-varying parameters; Linear model; Gretl;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:39:y:2024:i:7:d:10.1007_s00180-023-01452-3. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.