Linear models with time-varying parameters: a comparison of different approaches

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2024年1月30日

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Riccardo “Jack” Lucchetti,
Francesco Valentini

摘要

Estimation of linear models with time-varying parameters can be accomplished in a variety of ways, each making different assumptions, with varying degrees of accuracy and computational complexity. In this paper, we compare different gretl packages by means of simulated and real data focusing on both statistical and computational aspects. Our findings show that all the estimators provide similar results under ideal conditions, but the practitioner’s choice could be far from obvious.