Efficient Estimation of the Parameter Path in Unstable Time Series Models
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More about this item
Keywords
Time Varying Parameters; Non-linear Non-Gaussian Smoothing; Weighted Average Risk; Weighted Average Power; Posterior Approximation; Contiguity;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-03-17 (Econometrics)
- NEP-ETS-2007-03-17 (Econometric Time Series)
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