Stochastic Parameter Regression Models

Author : Paul Newbold,Theodore Bos

Paperback

Published : Friday 30 August 1985

ISBN : 9780803924253

Price : €39.77

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.

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