Some identification and estimation results for regression models with stochastically varying parametres

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dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:25:59Z
dc.date.issued 1980-01
dc.identifier.citation Journal of Econometrics, 1980, 13 (3), pp. 341 - 363
dc.identifier.issn 0304-4076
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13916
dc.description.abstract Although various theoretical and applied papers have appeared in recent years concerned with the estimation and use of regression models with stochastically varying coefficients, little is available in the literature on the properties of the proposed estimators or the identifiability of the parameters of such models. The present paper derives sufficient conditions under which the maximum likelihood estimator is consistent and asymptotically normal and also provides sufficient conditions for the estimation of regression models with stationary stochastically varying coefficients. In many instances these requirements are found to have simple, intuitively appealing interpretations. Consistency and asymptotic normality is also proven for a two-step estimator and a method suggested by Rosenberg for generating initial estimates.
dc.format Yes
dc.publisher Elsevier Science Publishers B.V.
dc.relation.isbasedon 10.1016/0304-4076(80)90084-6
dc.title Some identification and estimation results for regression models with stochastically varying parametres
dc.type Journal Article
dc.parent Journal of Econometrics
dc.journal.volume 3
dc.journal.volume 13
dc.journal.number 3 en_US
dc.publocation Amsterdam, The Netherlands en_US
dc.identifier.startpage 341 en_US
dc.identifier.endpage 363 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 100844
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Uncategorised (ID: 363)
utslib.collection.history Closed (ID: 3)


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