Search Results - subject:"time varying parameter model"

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 … model (TVCM), this loss being an increasing function of the degree of persistence and of the variance of the process driving …

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

The Asian Financial Crisis and Investors’ Risk Aversion

Nishiyama, Yasuo - In: Asia-Pacific Financial Markets 13 (2006) 3, pp. 181-205

Persistent link: https://www.econbiz.de/10005727089

Are apparent findings of nonlinearity due to structural instability in economic time series?

KOOP, GARY; POTTER, SIMON M. - In: Econometrics Journal 4 (2001) 1, pp. 38-38

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive...

Persistent link: https://www.econbiz.de/10005100110

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

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