Whereas standard regression models force economic relationships or behavior to be fixed through time, stochastic parameter regression models allow relationships to vary slowly--without need for specification of the causes of that variation. The authors thoroughly examine the usefulness of the Kalman filter and state-space modeling in work with the stochastic parameter regression model.
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Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets
Product details
ISBN
9780803924253
Published
1985-08-30
Publisher
SAGE Publications Inc
Weight
110 gr
Height
215 mm
Width
139 mm
Age
P, 06
Language
Product language
Engelsk
Format
Product format
Heftet
Number of pages
80