No. 475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
George Kapetanios ,
Queen Mary, University of London
November 1, 2002
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