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THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS.

Year of publication:
1988
Authors: NELSON, C.R. ; KIM, C-J.
Institutions: Department of Economics, University of Washington
Subject: economic models | econometrics | tests
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Series:
Discussion Papers in Economics at the University of Washington.
Type of publication: Book / Working Paper
Notes:
26 pages
Source:
RePEc - Research Papers in Economics
Persistent link: https://www.econbiz.de/10005618531
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