Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 1976, Volume 44, Issue 1

Estimation in the Presence of Stochastic Parameter Variation<167:EITPOS>2.0.CO;2-S
p. 167-184

Edward C. Prescott, Thomas F. Cooley

In this paper we consider the estimation of a model with time varying structure. The parameters of the model are assumed to be subject to permanent and transitory changes over time. Estimation methods are developed, and the asymptotic properties of the estimates are derived.

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