The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis
收藏NBER1988-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0070
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资源简介：
The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH
提供机构：
美国国家经济研究局
创建时间：
1988-09-01
