Arbeitspapier
Variance estimation in a random coefficients model
This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum likelihood estimator and a moments estimator that builds on the idea that some moments are equalized to their expectations. These estimators perform quite similar in many cases. In some cases, however, the moments estimator is preferable both to the proposed likelihood estimator and the Kalman filter, as implemented in the program package Eviews.
- Language
-
Englisch
- Bibliographic citation
-
Series: IZA Discussion Papers ; No. 2031
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Model Evaluation, Validation, and Selection
- Subject
-
time-varying coefficients
adaptive estimation
Kalman filter
state-space
- Event
-
Geistige Schöpfung
- (who)
-
Schlicht, Ekkehart
Ludsteck, Johannes
- Event
-
Veröffentlichung
- (who)
-
Institute for the Study of Labor (IZA)
- (where)
-
Bonn
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schlicht, Ekkehart
- Ludsteck, Johannes
- Institute for the Study of Labor (IZA)
Time of origin
- 2006
Other Objects (12)
Variance Estimation in a Random Coefficients Model
Panel data estimation for correlated random coefficients models
Semiparametric estimation of random coefficients in structural economic models
Instrumental variables estimation of a generalized correlated random coefficients model
Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Estimation of random coefficients logit demand models with interactive fixed effects
Estimation of random coefficients logit demand models with interactive fixed effects
Identification and estimation in a correlated random coefficients binary response model
Estimation of random coefficients logit demand models with interactive fixed effects
Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
Variance Estimation in a Random Coefficients Model
Panel data estimation for correlated random coefficients models
Semiparametric estimation of random coefficients in structural economic models
Instrumental variables estimation of a generalized correlated random coefficients model
Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Estimation of random coefficients logit demand models with interactive fixed effects
Estimation of random coefficients logit demand models with interactive fixed effects
Identification and estimation in a correlated random coefficients binary response model
Estimation of random coefficients logit demand models with interactive fixed effects
Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
Variance Estimation in a Random Coefficients Model
Panel data estimation for correlated random coefficients models
Semiparametric estimation of random coefficients in structural economic models
Instrumental variables estimation of a generalized correlated random coefficients model
Nonparametric Estimation of the Random Coefficients Model: An Elastic Net Approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Nonparametric estimation of the random coefficients model: An elastic net approach
Estimation of random coefficients logit demand models with interactive fixed effects
Estimation of random coefficients logit demand models with interactive fixed effects
Identification and estimation in a correlated random coefficients binary response model
Estimation of random coefficients logit demand models with interactive fixed effects