Estimation and testing of time‐varying coefficient regression models in the presence of linear restrictions

Journal of Forecasting

Volumn 12, Issue 1, 1993, Pages 49-62

  Leybourne, S J ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

AIDS model; Classical tests; Kalman filter; Linear restrictions; Maximum likelihood estimation; Random walk; Varying coefficient regression

Indexed keywords

EID: 33644657606     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.3980120105     Document Type: Article

References (10)

1. An almost ideal demand system
2. Two methods of examining the stability of regression coefficients
3. On the distribution of some tests for coefficient constancy
4. Varying coefficient regression
5. Generalised least squares applied to time varying parameter models
6. Non‐normality of the Lagrange multiplier statistic for testing the constancy of regression coefficients