Inference on stochastic time-varying coefficient models

Journal of Econometrics

Volumn 179, Issue 1, 2014, Pages 46-65

  Giraitis, L ^a   Kapetanios, G ^a   Yates, T ^b  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Autoregressive processes; Kernel estimation; Nonparametric estimation; Random coefficient models; Time varying coefficient models

Indexed keywords

KALMAN FILTERS; MONTE CARLO METHODS; MULTIVARIABLE SYSTEMS; RANDOM ERRORS; STATE SPACE METHODS; STOCHASTIC SYSTEMS;

AUTO REGRESSIVE PROCESS; KERNEL ESTIMATION; NON-PARAMETRIC ESTIMATIONS; RANDOM COEFFICIENTS; TIME-VARYING COEFFICIENT;

STOCHASTIC MODELS;

EID: 84890005648     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.10.009     Document Type: Article

References (56)

1. ABADIR, K., W. DISTASO, L. GIRAITIS, AND H. L. KOUL (2013). Asymptotic normality for weighted sums of linear processes. Econometric Theory, forthcoming.
2. ANDERSON, T. W. (1959). On asymptotic distributions of estimates of parameters of stochastic dierence equations. Annals of Mathematical Statistics 30, 676-687.
3. ANDREWS, D. W. K., AND P. GUGGENBERGER (2008). Asymptotics for stationary very nearly unit root processes. Journal of Time Series Analysis 29, 203-210.
4. BENATI, L. (2010). Investigating ination persistence in monetary regimes. Quarterly Journal of Economics 123, 1636-52.
5. BENATI, L., AND P. SURICO (2008). Evolving U.S. monetary policy and the decline of ination predictability. Journal of the European Economic Association 6, 634-646.
6. BENIGNO, G. (2002). Real exchange rate persistence and monetary policy rules. Journal of Monetary Economics 51, 473-502.
7. BENIGNO, P., L. A. RICCI, AND P. SURICO (2010). Unemployment and productivity in the long run: the role of macroeconomic volatility. NBER working paper no 16374.
8. BROWN, R. L., J. DURBIN, AND J. M. EVANS (1974). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Association, Series A 138, 149-163.
9. CHAN, N. H., AND C. Z. WEI (1987). Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics 15, 1050-1063.
10. CHARI, V., P. KEHOE, AND E. MCGRATTAN (2002). Can sticky price models generate volatile and persistent real exchange rates? Review of Economic Studies 69, 533-563.
11. CHEN, S., AND C. ENGEL (2005). Does 'aggregation bias' explain the PPP puzzle? Pacic Economic Review 10, 49-72.
12. CHORTAREAS, G. E., AND G. KAPETANIOS (2009). Getting PPP right: identifying meanreverting real exchange rates in panels. Journal of Banking and Finance 33, 390-404.
13. CHORTAREAS, G. E., G. KAPETANIOS, AND Y. SHIN (2002) Nonlinear mean reversion in real exchange rates. Economics Letters 77, 411-417.
14. CHOW, A. (1960). Tests of equality between sets of coecients in two linear regressions. Econometrica 28, 591-605.
15. CHRISTIANO, L., M. EICHENBAUM, AND C. EVANS (2005). Nominal rigidities and the dynamic eects of a shock to monetary policy. Journal of Political Economy 113, 1-45.
16. COGLEY, T., T. SARGENT, AND G. PRIMICERI (2010). Ination gap persistence in the U.S. American Economic Association: Macroeconomics 2, 43-69.
17. COGLEY, T., AND T. J. SARGENT (2001). Evolving post World War 2 U.S. ination dynamics. NBER Macroeconomics Annual 16, 331-337.
18. COGLEY, T., AND T. J. SARGENT (2005a). The conquest of US ination: Learning and robustness to model uncertainty. Review of Economic Dynamics 8, 528-563.
19. COGLEY, T., AND T. J. SARGENT (2005b). Drifts and volatilities: monetary policies and outcomes in the post WWII US. Review of Economic Dynamics 8, 262-302.
20. COOLEY, T. F., AND E. C. PRESCOTT (1973). An adaptive regression model. International Economic Review 14, 364-371.
21. DAHLHAUS, R. (1997). Fitting time series models to nonstationary processes. Annals of Statistics 25, 1-37.
22. DAHLHAUS, R., AND L. GIRAITIS (1998). On the optimal segment length for parameter estimates for locally stationary time series. Journal of Time Series Analysis 19, 629-656.
23. DALLA, V., L. GIRAITIS, AND H. KOUL (2012). Studentising weighted sums of linear processes. Working paper, Queen Mary, University of London.
24. DOAN, T., R. LITTERMAN, AND C. SIMS (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews 3, 1-100.
25. FRANKEL, J. A., AND A. K. ROSE (1996). A panel project on purchasing power parity: mean reversion within and between countries. Journal of International Economics 40, 209-224.
26. GIRAITIS, L., H. KOUL, AND D. SURGAILIS (2012). Large Sample Inference for Long memory Processes. Imperial College Press, London.
27. HALL, P., AND C. C. HEYDE (1980). Martingale Limit Theory and its Application. Aca-demic Press.
28. IMBS, J., H. MUMTAZ, M. RAVN, AND H. REY (2005). PPP strikes back: aggregation and the real exchange rate. Quarterly Journal of Economics 120, 1-43.
29. KAPETANIOS, G., AND E. TZAVALIS (2010). Modeling structural breaks in economic relationships using large shocks. Journal of Economic Dynamics and Control 34, 417-436.
30. KAPETANIOS, G., AND T. YATES (2008). An analysis of ination persistence and the Great Moderation using a model of deterministic structural change. Mimeo, Bank of England.
31. KOOP, G., AND S. POTTER (2008). Time varying VARs with inequality restrictions. University of Strathclyde/FRB New York mimeo.
32. LAI, T. L., AND C. Z. WEI (2010). Least squares estimates in stochastic regression models with applications to identication and control of dynamic systems. Annals of Statistics 10, 154-166.
33. LUCAS, R. E. (1976). Econometric policy evaluation: a critique. In: The Phillips Curve and Labour Markets, ed. by K. Brunner, and K. Meltzer. North-Holland, Amsterdam.
34. MULLER, U. K., AND P. M. PETALAS (2010). Ecient estimation of the parameter path in unstable time series models. Review of Economic Studies 77, 1508-1539.
35. MULLER, U. K., AND M. W. WATSON (2008). Testing models of low-frequency variability. Econometrica 76, 979-1016.
36. MUMTAZ, H., AND P. SURICO (2009). Time varying yield curve dynamics and monetary policy. Journal of Applied Econometrics 24, 895-913.
37. NELSON, E. (2005). The great ination of the seventies: what really happened? The B.E. Journal of Macroeconomics 0(1), 3.
38. PAPELL, D. H. (1997). Searching for stationarity: purchasing power parity under the current float. Journal of International Economics 43, 313-332.
39. PAPELL, D. H., AND R. PRODAN (2006). Additional evidence of long run purchasing power parity with restricted structural change. Journal of Money, Credit and Banking 38, 1329-1350.
40. PAPELL, D. H., AND H. THEODORIDIS (1998). Increasing evidence of purchasing power parity over the current oat. Journal of International Money and Finance 17, 41-50.
41. PAPELL, D. H., AND H. THEODORIDIS (2001). The choice of numeraire currency in panel tests of purchasing power parity. Journal of Money, Credit and Banking 33, 790-803.
42. PESARAN, M. H., D. PETTENUZZO, AND A. TIMMERMANN (2006). Forecasting time series subject to multiple structural breaks. Review of Economic Studies 73(4), 1057-1084.
43. PHILLIPS, P. C. B. (1987). Towards a unied asymptotic theory for autoregression. Biometrika 74, 535-547.
44. PHILLIPS, P. C. B., AND T. MAGDALINOS (2007). Limit theory for moderate deviations from a unit root. Journal of Econometrics 136, 115-130.
45. PHILLIPS, P. C. B., AND V. SOLO (1992). Asymptotics for linear processes. Annals of Statistics 20, 971-1001.
46. PLOBERGER, W., AND W. KRAMER (1992). The CUSUM test with OLS residuals. Econometrica 60, 271-285.
47. PRIESTLEY, M. (1965). Evolutionary spectra and nonstationary processes. Journal of Royal Statistical Society, Series B 27, 204-237.
48. ROBINSON, P. M. (1989). Nonparametric estimation of time varying parameters. In: Economic Structural Change: Analysis and Forecasting, ed. by P. Hackl, pp. 253-264. Springer Berlin.
49. ROBINSON, P. M. (1991). Time varying nonlinear regression. In: Economic Structural Change: Analysis and Forecasting, ed. by P. Hackl, pp. 179-190. Springer Berlin.
50. ROGOFF, K. (1996). The purchasing power parity puzzle. Journal of Economic Literature 34, 647-668.
51. SARGENT, T. J. (2001). The Conquest of American Ination. Princeton University Press.
52. SARGENT, T. J., N. WILLIAMS, AND T. ZHA (2006). Shocks and government beliefs: the rise and fall of American ination. American Economic Review 96, 1193-1224.
53. SEGALOTTO, J.-F., M. ARNONE, AND B. LAURENS (2006). Measures of Central Bank autonomy: Empirical evidence for OECD, developing, and emerging market economies. IMF Working Papers 06/228, International Monetary Fund.
54. SMETS, F., AND R. WOUTERS (2003). An estimated dynamic stochastic general equilbrium model for the Euro Area. Journal of the European Economic Association 1, 1123-1175.
55. STOCK, J. H., AND M. W. WATSON (1998). Median unbiased estimation of coecient variance in a time-varying parameter model. Journal of the American Statistical Association 93(441), pp. 349-358.
56. STOUT, W. F. (1974). Almost Sure Convergence. Academic Press.