Search Results - subject:"time‐varying parameter"

Estimates of the Productivity Trend Using Time-Varying Parameter Techniques

Roberts, John - In: Contributions to Macroeconomics 1 (2001) contributions/1/1, pp. 1014-1014

use time-varying parameter techniques to isolate trend from cyclical movements in productivity and to estimate the trend …

Persistent link: https://www.econbiz.de/10005087011

Which Econometric Specification to Characterize the U.S. Inflation Rate Process?

Boutahar, Mohamed; Gbaguidi, David - In: Computational Economics 34 (2009) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10004976807

Time-Varying Parameters Prediction

Grillenzoni, Carlo - In: Annals of the Institute of Statistical Mathematics 52 (2000) 1, pp. 108-122

Persistent link: https://www.econbiz.de/10005760260

Conditional risk-return relationship in a time-varying beta model

Huang, Peng; Hueng, C. James - In: Quantitative Finance 8 (2008) 4, pp. 381-390

We investigate the asymmetric risk-return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11-2003:12, we find a positive risk-return...

Persistent link: https://www.econbiz.de/10005462669

Parametric and Semiparametric Efficient Tests for Parameter Instability

Lee, Dong Jin - Department of Economics, University of Connecticut - 2008

cover a wide range of structural breaks and time varying parameter processes. I first derive a test under known error …

Persistent link: https://www.econbiz.de/10005027213

Parameter instability and forecasting performance: a Monte Carlo study

Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - In: International Journal of Business Forecasting and … 1 (2008) 1, pp. 1-20

that the loss is considerable when a fixed coefficient models (FCM) is estimated instead of the true time varying parameter …

Persistent link: https://www.econbiz.de/10009359984

Wage Setting and Hysteresis in Unemployment

Stiassny, Alfred - In: Empirica 25 (1998) 1, pp. 79-107

Persistent link: https://www.econbiz.de/10005719105

Optimized adaptive prediction

Grillenzoni, Carlo - In: Statistical Methods and Applications 6 (1997) 1, pp. 37-58

Persistent link: https://www.econbiz.de/10008590988

Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Rincón, Hernán; Caicedo, Edgar; Rodríguez, Norberto - Banco de la Republica de Colombia

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...

Persistent link: https://www.econbiz.de/10005113915

Dynamic Efficiency in the East European Emerging Markets

Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi; Shimada, Junji - In: Asia-Pacific Financial Markets 12 (2005) 2, pp. 159-179

Persistent link: https://www.econbiz.de/10005727039