Modelos de parâmetros variáveis: uma resenha crítica

Abstract

This paper surveys the literature on time varying parameter models. It includes not only the more recent classical and bayesian, approaches based in the Kalman filter, but also provides some discussion of earlier models of parameter variation. These techniques are very useful in economics not only for forecasting proposes, via univariate models of signal extraction, but also for analyzing models subject to structural change.