Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Joshua Chan (2016)
Econometric Reviews, forthcoming
[ Journal Version | Working Paper | Code ]

This code replicates the two empirical applications in Chan (2016).

The first tests if stochastic volatility is needed in the UCSV model of Stock and Watson (2007) for modeling inflation in G7 countries.

The second tests if the NAIRU is time varying in a bivariate unobserved components model for inflation and unemployment.