Stochastic parameter regression models

Author(s)

• Newbold, Paul
• Bos, Theodore

Bibliographic Information

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

Note

Bibliography: p. 77-79

Description and Table of Contents

Description

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.

Table of Contents

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

by "Nielsen BookData"

Details

• NCID: BA01423557
• ISBN:
  • 0803924259
• LCCN: 85050149
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Beverly Hills
• Pages/Volumes: 80 p.
• Size: 22 cm
• Classification:
  • LCC : QA278.2
  • DC19 : 519.5/36
  • NDC8 : 417.7
  • NDC8 : 301.6
• Subject Headings:
  • LCSH : Regression analysis
  • LCSH : Stochastic analysis
• Parent Bibliography ID:
  • BA00656709