Stochastic Parameter Regression Models

By Paul Newbold and Theodore Bos

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 0803924259
• ISBN13: 9780803924253
• Release Date: August 1985
• Publisher: Sage Publications
• Length: 80 Pages
• Weight: 0.25 lbs.
• Dimensions: 0.2" x 5.4" x 8.3"