Share
Stochastic Parameter Regression Models
- Paul Newbold - University of Illinois, Carbondale
- Theodore Bos
Volume:
51
May 1985 | 80 pages | SAGE Publications, Inc
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.
Learn more about "The Little Green Book" - QASS Series! Click Here
Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets
