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Stochastic Parameter Regression Models

Stochastic Parameter Regression Models

August 1985 | 80 pages | SAGE Publications, Inc
This excellent introduction to stochastic parameter regression models is more advanced and technically difficult than other papers in this series. These models allow relationships to vary through time, rather than requiring them to be fixed, without forcing the analyst to specify and analyze the causes of the time-varying relationships. This volume will be most useful to those with a good working knowledge of standard regression models and who wish to understand methods which deal with relationships that vary slowly over time, but for which the exact causes of variation cannot be identified.
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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