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

parameter linear model. Compared with non-linear models, multi-step forecasts are more easily prepared using time-varying … non-linear models in economics and shows (via White's Theorem) that any non-linear model can be approximated by a time-varying … parameter models, while they are also more readily interpretable and theoretical results on aggregation are straightforward to …

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

models with time-varying parameter models. The convergence between the two cycles is characterised by two time …