A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

U of London Queen Mary Economics Working Paper No. 475

11 Pages Posted: 3 Feb 2003

Date Written: November 2002

Abstract

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions.

Keywords: Stationarity, Random Coefficient Models

JEL Classification: C22

Suggested Citation

Kapetanios, George, A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models (November 2002). U of London Queen Mary Economics Working Paper No. 475, Available at SSRN: https://ssrn.com/abstract=358408 or http://dx.doi.org/10.2139/ssrn.358408

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
74
Abstract Views
825
rank
386,839
PlumX Metrics