School of Economics and Finance

No. 475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

George Kapetanios , Queen Mary, University of London

November 1, 2002

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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