Stochastic parameter regression models

著者

• Newbold, Paul
• Bos, Theodore

書誌事項

Stochastic parameter regression models

Paul Newbold, Theodore Bos

（Sage university papers series, . Quantitative applications in the social sciences ; no. 07-051）

Sage Publications, c1985

• : pbk

注記

Bibliography: p. 77-79

内容説明・目次

内容説明

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.

目次

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

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詳細情報

• NII書誌ID(NCID): BA01423557
• ISBN:
  • 0803924259
• LCCN: 85050149
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Beverly Hills
• ページ数/冊数: 80 p.
• 大きさ: 22 cm
• 分類:
  • LCC : QA278.2
  • DC19 : 519.5/36
  • NDC8 : 417.7
  • NDC8 : 301.6
• 件名:
  • LCSH : Regression analysis
  • LCSH : Stochastic analysis
• 親書誌ID:
  • BA00656709