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Linear models with time-varying parameters: a comparison of different approaches

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  • Riccardo “Jack” Lucchetti

    (Università Politecnica delle Marche)

  • Francesco Valentini

    (Università Politecnica delle Marche)

Abstract

Estimation of linear models with time-varying parameters can be accomplished in a variety of ways, each making different assumptions, with varying degrees of accuracy and computational complexity. In this paper, we compare different gretl packages by means of simulated and real data focusing on both statistical and computational aspects. Our findings show that all the estimators provide similar results under ideal conditions, but the practitioner’s choice could be far from obvious.

Suggested Citation

  • Riccardo “Jack” Lucchetti & Francesco Valentini, 2024. "Linear models with time-varying parameters: a comparison of different approaches," Computational Statistics, Springer, vol. 39(7), pages 3523-3545, December.
    • Handle: RePEc:spr:compst:v:39:y:2024:i:7:d:10.1007_s00180-023-01452-3
    DOI: 10.1007/s00180-023-01452-3
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