Efficient estimation of the parameter path in unstable time series models

Review of Economic Studies

Volumn 77, Issue 4, 2010, Pages 1508-1539

  Müller, Ulrich K ^a   Petalas, Philippe Emmanuel ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMICS; GAUSSIAN METHOD; NUMERICAL MODEL; TIME SERIES ANALYSIS;

EID: 77955739998     PISSN: 00346527     EISSN: 1467937X     Source Type: Journal    
DOI: 10.1111/j.1467-937X.2010.00603.x     Document Type: Article

References (54)

1. Anderson T W. "The Integral of a Symmetric Convex Set and some Probability Integrals" Proceedings of the American Mathematical Society 1955, 6:170-176.
2. Andrews D W K, Ploberger W. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative" Econometrica 1994, 62:1383-1414.
3. Bai J. "Estimation of a Change Point in Multiple Regressions" Review of Economics and Statistics 1997, 79:551-563.
4. Bai J, Perron P. "Estimating and Testing Linear Models with Multiple Structural Changes" Econometrica 1998, 66:47-78.
5. Bernanke B S, Mihov I. "Measuring Monetary Policy" The Quarterly Journal of Economics 1998, 113:869-902.
6. Billingsley P. "Convergence of Probability Measure" 1968, New York, Wiley
7. Boivin J. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real Time Data" 2003, Working Paper, Columbia University
8. Brown L D, Low M G. "Asymptotic Equivalence of Nonparametric Regression and White Noise" Annals of Statistics 1996, 24:2384-2398.
9. Cai Z. "Trending Time-Varying Coefficient Time Series Models with Serially Correlated Errors" Journal of Econometrics 2007, 136:163-188.
10. Chib S. "Estimation and Comparison of Multiple Change-Point Models" Journal of Econometrics 1998, 75:221-241.
11. Cogley T, Sargent T J. "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US" Review of Economic Dynamics 2005, 8:262-302.
12. Dudley R M. Real Analysis and Probability 2002, Cambridge, UK, Cambridge University Press
13. Dufour J-M, Ghysels E. "Recent Developments in the Econometrics of Structural Change: Overview" Journal of Econometrics 1996, 70:1-8.
14. Durbin J, Koopman S J. "Monte Carlo Maximum Likelihood Estimation for Non-Gaussian State Space Models" Biometrika 1997, 84:669-684.
15. Durbin J, Koopman S J. "Time Series Analysis by State Space Methods" 2001, Oxford, Oxford University Press
16. Elliott G, Müller U K. "Efficient Tests for General Persistent Time Variation in Regression Coefficients" Review of Economic Studies 2006, 73:907-940.
17. Elliott G, Müuller U K. "Confidence Sets for the Date of a Single Break in Linear Time Series Regressions" Journal of Econometrics 2007, 141:1196-1218.
18. Fernandez-Villaverde J, Rubio-Ramirez J. "How Structural Are Structural Parameters?" Macroeconomics Annual 2007, 22:83-137.
19. Ghysels E. "On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?" Journal of Finance 1998, 53:549-573.
20. Gourieroux C, Monfort A, Trognon A. "Pseudo Maximum Likelihood Methods: Theory" Econometrica 1984, 52:681-700.
21. Hall P, Heyde C C. Martingale Limit Theory and its Applications 1980, New York, Academic Press
22. Hamilton J D. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle" Econometrica 1989, 57:357-384.
23. Hansen B E. "Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis" Econometrica 1996, 64:413-430.
24. Harvey A C. "Forecasting, Structural Time Series Models and the Kalman Filter" 1989, Cambridge University Press
25. Harvey A C, Ruiz E, Shephard N. "Multivariate Stochastic Variance Models" Review of Economic Studies 1994, 61:247-264.
26. Huber P. "The Behavior of the Maximum Likelihood Estimates under Nonstandard Conditions" Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability 1967, 221-233. Berkeley, University of California Press
27. Jacquier E, Polson N G, Rossi P E. "Bayesian Analysis of Stochastic Volatility Models" Journal of Business and Economic Statistics 1994, 12:371-417.
28. Jong P D. "The Diffuse Kalman Filter" The Annals of Statistics 1991, 19:1073-1083.
29. Kim S, Shephard N, Chib S. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models" Review of Economic Studies 1998, 65:361-393.
30. Lecam L. "Asymptotic Methods in Statistical Decision Theory" 1986, New York, Springer Verlag
31. Li H, Müller U K. "Valid Inference in Partially Unstable General Method of Moment Models" Review of Economic Studies 2009, 76:343-365.
32. Linde J. "Testing for the Lucas-Critique: A Quantitative Investigation" American Economic Review 2001, 91:986-1005.
33. Müuller U K. "Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix" 2009, Working Paper, Princeton University
34. Newey W K, West K. "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" Econometrica 1987, 55:703-708.
35. Nussbaum M. "Asymptotic Equivalence of Density Estimation and Gaussian White Noise" Annals of Statistics 1996, 24:2399-2430.
36. Nyblom J. "Testing for the Constancy of Parameters Over Time" Journal of the American Statistical Association 1989, 84:223-230.
37. Phillips P C B, Ploberger W. "An Asymptotic Theory of Bayesian Inference for Time Series" Econometrica 1996, 64:381-412.
38. Ploberger W. "A Complete Class of Tests When the Likelihood is Locally Asymptotically Quadratic" Journal of Econometrics 2004, 118:67-94.
39. Pollard D. "Contiguity" 2001, Working Paper, Yale University
40. Priestley M B, Chao M T. "Non-Parametric Function Fitting" Journal of the Royal Statistical Society, Series B 1972, 34:385-392.
41. Primiceri G E. "Time Varying Structural Vector Autoregressions and Monetary Policy" The Review of Economic Studies 2005, 72:821-852.
42. Robinson P M. "Nonparametric Estimation of Time-Varying Parameters" Statistical Analysis and Forecasting of Economic Structural Change 1989, 253-264. Hackl P. (ed.), Berlin, Springer
43. Robinson P M. "Time-Varying Nonlinear Regression" Economic Structural Change. Analysis and Forecasting 1991, 179-190. Hackl PWestlund A H. (eds), Berlin, Springer
44. Schervish M J. "Theory of Statistics" 1995, New York, Springer
45. Shephard N, Pitt M K. "Likelihood Analysis of Non-Gaussian Measurement Time Series" Biometrika 1997, 84:653-667.
46. Shively T S. "An Analysis of Tests for Regression Coefficient Stability" Journal of Econometrics 1988, 39:367-386.
47. Sims C A, Zha T. "Where There Regime Switches in Us Monetary Policy?" American Economic Review 2006, 96:54-81.
48. Stock J H. "Unit Roots, Structural Breaks and Trends" Handbook of Econometrics 1994, 2740-2841. Engle R FMcfadden D. (eds), Vol. 4, New York, North Holland
49. Stock J H, Watson M W. "Evidence on Structural Instability in Macroeconomic Time Series Relations" Journal of Business and Economic Statistics 1996, 14:11-30.
50. Stock J H, Watson M W. "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model" Journal of the American Statistical Association 1998, 93:349-358.
51. Stock J H, Watson M W. "Has the Business Cycle Changed and Why?" NBER Macroeconomics Annual 2002 2002, 159-218. Gertler M, Rogoff K S. (eds), Cambridge, MA, MIT Press
52. Wald A. "Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large" Transactions of the American Mathematical Society 1943, 54:426-482.
53. White H. "Maximum Likelihood Estimation of Misspecified Models" Econometrica 1982, 50:1-25.
54. Wu W B, Zhao Z. "Inference of Trends in Time Series" Journal of the Royal Statistical Society, Series B 2007, 69:391-410.