Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model
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This paper considers the estimation of the variance of coefficients in time varying parameter models with stationary regressors. The maximum likelihood estimator has large point mass at zero. We therefore develop asymptotically median unbiased estimators and confidence intervals by inverting median
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美国国家经济研究局创建时间：
1996-08-01
