Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194874 
Year of Publication: 
2019
Series/Report no.: 
Economics Discussion Papers No. 2019-22
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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.
Subjects: 
time-series analysis
linear model
state-space estimation
time-varying coefficients
moments estimation
JEL: 
C2
C22
C32
C51
C52
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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