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Stochastic Parameter Regression Models

Stochastic Parameter Regression Models

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.

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Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets

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ISBN: 9780803924253

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