Adapting to instability in money demand: forecasting money growth with a time-varying parameter model
论文使用时变参数估计器改进传统货币需求模型，评估其预测能力，发现相对普通最小二乘法有显著提升，但在动荡时期仍难以准确追踪货币需求。
Conventional money demand models appear to be unstable, and this complicates the problem of conducting monetary policy. One way to deal with parameter instability is to learn how to adapt quickly when parameters shift. This paper applies a time-varying-parameter estimator to conventional money demand models and evaluates its usefulness as a forecasting tool. In relative terms, the time-varying-parameter estimator improves significantly on ordinary least squares. In absolute terms, we continue to have difficulty tracking money demand through turbulent periods.