Showing 1 - 10 of 56
Persistent link: https://www.econbiz.de/10013438380
A multivariate, non-Bayesian, regression-based, or feasible generalized least squares (GLS)-based approach is proposed to estimate time-varying VAR parameter models. Although it has been known that the Kalman-smoothed estimate can be alternatively estimated using GLS for univariate models, we...
Persistent link: https://www.econbiz.de/10013355122
Persistent link: https://www.econbiz.de/10000803463
Persistent link: https://www.econbiz.de/10000809706
Persistent link: https://www.econbiz.de/10001331524
Persistent link: https://www.econbiz.de/10001118076
Persistent link: https://www.econbiz.de/10001069079
Persistent link: https://www.econbiz.de/10001192345
Persistent link: https://www.econbiz.de/10001512725
Persistent link: https://www.econbiz.de/10001512729