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Time-varying coefficient estimation in the presence of non-stationarity

By Stephen G. Hall, P. A. V. B. Swamy, George S. Tavlas and George Hondroyiannis


Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the issue of non-stationarity. This paper outlines the basic stages of the technique and discusses in detail how the issue of non-stationarity and cointegration affect each stage of the TVC estimation procedure

Topics: Specification Problem, Correct interpretation of coefficients, Appropriate assumption, Time-varying coefficient model, Coefficient driver
Publisher: Dept. of Economics, University of Leicester
Year: 2009
OAI identifier:

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