Stochastic Parameter Regression Models

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Paul Newbold - University of Illinois, Carbondale
Theodore Bos

Volume: 51

Series:
Quantitative Applications in the Social Sciences

May 1985 | 80 pages | SAGE Publications, Inc

Description
Contents

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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ISBN: 9780803924253	Paperback	Suggested Retail Price: $46.00	Bookstore Price: $36.80
ISBN: 9781452206714	Electronic Version	Suggested Retail Price: $38.00	Bookstore Price: $30.40

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Introduction and Preliminaries

Estimation and Prediction

Some Tests of Hypotheses

Testing for Efficient Capital Markets

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