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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Persistence and time-varying coefficients
Author(s): McMillan, David
Wohar, Mark E
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Keywords: Persistence
Time-varying coefficient
Issue Date: Jul-2010
Date Deposited: 8-Apr-2013
Citation: McMillan D & Wohar ME (2010) Persistence and time-varying coefficients. Economics Letters, 108 (1), pp. 85-88.
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.
DOI Link: 10.1016/j.econlet.2010.04.019
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