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http://hdl.handle.net/1893/11779| 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 |
| Contact Email: | david.mcmillan@stir.ac.uk |
| Keywords: | Persistence State-space 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. 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. |
| DOI Link: | 10.1016/j.econlet.2010.04.019 |
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| Licence URL(s): | http://www.rioxx.net/licenses/under-embargo-all-rights-reserved |
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