๐”– Bobbio Scriptorium
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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

โœ Scribed by Mark W. Watson; Robert F. Engle

Book ID
107949875
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
889 KB
Volume
23
Category
Article
ISSN
0304-4076

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## Abstract A linear regression model with random walk coefficients is extended to allow for linear restrictions between the coefficients to be satisfied at each point in time. Estimation in this model is shown to be no more involved than estimation in the standard model. It is also demonstrated ho