Discussion Paper
No. 2019-22 |
March 08, 2019
VC - A method for estimating time-varying coefficients in linear models
Abstract
This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood estimator.
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