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.
Les mer
Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets
Produktdetaljer
ISBN
9780803924253
Publisert
1985-08-30
Utgiver
SAGE Publications Inc
Vekt
110 gr
Høyde
215 mm
Bredde
139 mm
Aldersnivå
P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
80