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Efficient Estimation of the Parameter Path in Unstable Time Series Models
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Titel: |
Efficient Estimation of the Parameter Path in Unstable Time Series Models |
In: | The Review of Economic Studies, 77, 2010, 4, S. 1508-1539 |
veröffentlicht: |
Review of Economic Studies Ltd., Blackwell Publishing
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Umfang: | 1508-1539 |
ISSN: |
0034-6527 1467-937X |
Zusammenfassung: | <p>The paper investigates inference in non-linear and non-Gaussian models with moderately timevarying parameters. We show that for many decision problems, the sample information about the parameter path can be summarized by an artificial linear and Gaussian model, at least asymptotically. The approximation allows for computationally convenient path estimators and parameter stability tests. Also, in contrast to standard Bayesian techniques, the artificial model can be robustified so that in misspecified models, decisions about the path of the (pseudo-true) parameter remain as good as in a corresponding correctly specified model.</p> |
Format: | E-Article |
Quelle: |
sid-55-col-jstorbusiness1archive sid-55-col-jstorbusiness sid-55-col-jstoras1 JSTOR Business I Archive JSTOR Business & Economics JSTOR Arts & Sciences I Archive |
Sprache: | Englisch |