A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions.<br> <br> J.E.L. classification codes.

MoreLess

Year of publication:	2002-11
Authors:	Kapetanios, George
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Stationarity \| Random coefficient models

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 475
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005106443