The time-varying-parameter model for modeling changing conditional variance: The case of the lucas hypothesis

Journal of Business and Economic Statistics

Volumn 7, Issue 4, 1989, Pages 433-440

  Jin Kim, Chang ^a   Nelson, Charles R ^b  

^a YORK UNIVERSITY   (Canada)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Conditional variance; Kalman filter; Lucas hypothesis

Indexed keywords

EID: 0041001644     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1989.10509755     Document Type: Article

References (27)

1. Alberro, J. (1981), “The Lucas Hypothesis on the Phillips Curve: Further International Evidence,” Journal of Monetary Economics, 7, 239-250.
2. Anderson, B. D. O., and Moore, J. B. (1979), Optimal Filtering, Englewood Cliffs, NJ: Prentice-Hall.
3. Barro, R. J. (1976), “Rational Expectations and the Role of Monetary Policy,” Journal of Monetary Economics, 2, 1-32.
4. Breusch, T. S., and Pagan, A. R. (1979), “A Simple Test for Het- eroscedasticity and Random Coefficient Variation,” Econometrica, 47, 1287-1294.
5. Brown, R. L., Durbin, J., and Evans, J. M. (1975), “Techniques for Testing Constancy of Regression Relationship Over Time,” Journal of the Royal Statistical Society, Ser. B, 37, 149-192.
6. Dickey, D. A., and Fuller, W. A. (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association, 74, 427-431.
7. Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 987-1007.
8. Engle, R. E, and Watson, M. W. (1981), “A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates,” Journal of the American Statistical Association, 76, 774-781.
9. Engle, R. E, and Watson, M. W.(1985), “Application of Kalman Filtering in Econometrics,” unpublished report, World Congress of the Econometric Society, Cambridge, MA.
10. Friedman, B. M. (1979), “Optimal Expectations and the Extreme Information Assumptions of Rational Expectations Macromodels,” Journal of Monetary Economics, 5, 23-41.
11. Friedman, M. (1977), “Nobel Lecture: Inflation and Unemployment,” Journal of Political Economy, 85, 451-472.
12. Froyen, R. J., and Waud, R. (1980), “” American Economic Review, 70, 409-421.
13. Froyen, R. J., and Waud, R.(1984), “The Changing Relationship Between Aggregate Price
14. and Output: The British Experience,” Economica, 51, 53-67.
15. Gordon, R. J. (1987), Macroeconomics (4th ed.), Boston: Little, Brown.
16. Harrison, P. J., and Stevens, C. F. (1976), “Bayesian Forecasting,” Journal of the Royal Statistical Society, Ser. B, 38, 205-247.
17. Harvey, A. C. (1981), Time Series Models, New York: John Wiley.
18. Kormendi, R. C., and Mequire, P. G. (1984), “Cross-Regime Evidence of Macroeconomic Rationality,” Journal of Political Economy, 92, 875-908.
19. Lawrence, C. (1983), “Rational Expectations, Supply Shocks and the Stability of the Inflation-Output Tradeoff,” Journal of Monetary Economics, 11, 225-245.
20. Los, C. A. (1984), “Econometrics of Models With Evolutionary Parameter Structures,” unpublished Ph.D. dissertation, Columbia University, Dept, of Economics.
21. Lucas, R. E., Jr. (1973), “Some International Evidence on OutputInflation Tradeoffs,” American Economic Review, 63, 326-334.
22. McNees, S. K. (1986), “Modeling the Fed: A Forward-Looking Monetary Policy Reaction Functions,” New England Economic Review, Nov./Dec., 3-8.
23. Mishkin, F. S. (1982), “Does Anticipated Monetary Matter? An Econometric Investigation,” Journal of Political Economy, 90, 2251.
24. Pagan, A. (1984), “Econometric Issues in the Analysis of Regressions With Generated Regressors,” International Economic Review, 25, 221-247.
25. Rosenberg, B. (1973), “A Survey of Stochastic Parameter Regression,” Annals of Economic and Social Measurement, 2, 381-397.
26. Watson, M. W., and Engle, R. F. (1983), “Alternative Algorithms for the Estimation of Dynamic Factor, Mimic and Varying Coefficient Regression Models,” Journal of Econometrics, 23, 385-400.
27. Weintraub, R. (1980), Comment on “Unanticipated Money and Economic Activity,” by R. J. Barro and M. Rush, in Rational Expectation and Economic Policy, ed. S. Fischer, Chicago: University of Chicago Press, pp. 63-70.