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Testing for Random Walk Coefficients in Regression and State Space Models - Martin Moryson - Bog

Bag om Testing for Random Walk Coefficients in Regression and State Space Models

Regression and state space models with time varying coefficients are treated in a thorough manner. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783790811322
  • Indbinding:
  • Paperback
  • Sideantal:
  • 317
  • Udgivet:
  • 17. September 1998
  • Udgave:
  • 11998
  • Størrelse:
  • 234x156x17 mm.
  • Vægt:
  • 511 g.
  • 2-3 uger.
  • 2. Juli 2024

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Beskrivelse af Testing for Random Walk Coefficients in Regression and State Space Models

Regression and state space models with time varying coefficients are treated in a thorough manner. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

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