No. 475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
George Kapetanios Queen Mary, University of London
November 1, 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.
J.E.L classification codes: C22
Keywords: Stationarity, Random coefficient models