Persistence and time-varying coefficients

Citation

McMillan D & Wohar ME (2010) Persistence and time-varying coefficients. Economics Letters, 108 (1), pp. 85-88. https://doi.org/10.1016/j.econlet.2010.04.019

Abstract
Persistence in economic variables is common. We re-examine that using a time-varying parameter model. Results support a substantial reduction in persistence, particularly, when allowing for time-variation in the constant. This has important implications for policy-making and the effect of shocks.

Keywords
Persistence; State-space; Time-varying coefficient

Journal
Economics Letters: Volume 108, Issue 1

People

Professor David McMillan

Professor in Finance, Accounting & Finance