Philippe-Emmanuel Petalas

Economics Department, Princeton University

Graduate Student

Princeton, NJ 08544-1021

United States

  • Economics Department, Princeton University

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Efficient Estimation of the Parameter Path in Unstable Time Series Models

Number of pages: 53 Posted: 01 Apr 2007 Last Revised: 06 Jul 2009
Ulrich K. Müller and Philippe-Emmanuel Petalas
Princeton University - Department of Economics and Economics Department, Princeton University
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Abstract:

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Time Varying Parameters, Non-linear Non-Gaussian Smoothing, Weighted Average Risk, Weighted Average Power, Posterior Approximation, Misspecification