The Estimation of Regression Models with Time-Varying Parameters
In analysing time series data, the assumption that the coefficients in a regression model are constant over time may not always be reasonable. One way of handling this problem is to allow the parameters to vary over time according to a particular stochastic process. The parameters in models of this type are said to be dynamic, and they represent a generalization of models in which the parameters are random, in that they are independent of each other in different time periods; see, for example, Theil [1971, 622–627].
KeywordsMean Square Error Ordinary Little Square Generalize Little Square Ordinary Little Square Estimator Prediction Error Variance
Unable to display preview. Download preview PDF.
- Box, G.E.P., and G.M. Jenkins: Time Series Analyis: Forecasting and Control. San Francisco 1970.Google Scholar
- Brown, R.L., J. Durbin and J.M. Evans: Techniques for Testing the Constancy of Regression Relationships Over Time (with Discussion). Journal of the Royal Statistical Society, Series B, 37, 1975, 149–192.Google Scholar
- Cooley, T.F., and E.C. Prescott: Estimation in the Presence of Stochastic Parameter Variation. Econo-metrica 44, 1976, 167–184.Google Scholar
- Cooley, T.F., and K.D. Wall: Identification for Time-Varying Parameters. NBER Working Paper No. 127, 1976.Google Scholar
- Duncan, D.B., and S.D. Horn: Linear Dynamic Regression Estimation from the Viewpoint of Regression Analysis. Journal of the American Statistical Association 67, 1972, 815–821Google Scholar
- Harvey, A.C.: The Estimation of Time-Varying Parameters from Panel Data. Annales de TINSEE, Special Issue on the Econometrics of Panel Data 30–31, 1978, 203–226.Google Scholar
- Harvey, A.C., and G.D.A. Phillips: Maximum Likelihood Estimation of Regression Models with Auto-regressive-Moving Average Disturbances. Biometrika 66, 1979, 49–58.Google Scholar
- Pagan, A.R.: An Approach to Estimation and Inference for Varying Coefficient Regression Models. Unpublished paper, 1977.Google Scholar
- Rosenberg, B.: Random Coefficient Models: The Analysis of a Cross-Section of Time Series by Stochastically Convergent Parameter Regression. Annals of Economic and Social Meausrement, 2, 1973, 399–428.Google Scholar
- Sarries, A.H.: A Bayesian Approach to Estimation of Time-Varying Regression Coefficients. Annals of Economic and Social Measurement 2, 1973, 501–523.Google Scholar
- Schaefer, S., et al.: Alternative Models of Systematic Risk, International Capital Markets: an Inter and Intra Country Analysis. Ed. by E. Elton and M. Gruber. Amsterdam 1975, 150-161.Google Scholar
- Theil, H.: Principles of Econometrics. New York 1971.Google Scholar