Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
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Publication:3839609
DOI10.2307/2669631zbMath0906.62093OpenAlexW4241773439MaRDI QIDQ3839609
Mark W. Watson, James H. Stock
Publication date: 9 August 1998
Full work available at URL: https://doi.org/10.2307/2669631
unobserved componentsstructural time series modelstochastic coefficient modelunit moving average root
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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