Stochastic Parameter Regression Models
1st Edition
Published on 30. August 1985
Book
Paperback/Softback
80 pages
978-0-8039-2425-3 (ISBN)
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.
More details
Series
Language
English
Place of publication
Thousand Oaks
United States
Target group
Professional and scholarly
Dimensions
Height: 216 mm
Width: 140 mm
Thickness: 5 mm
Weight
119 gr
ISBN-13
978-0-8039-2425-3 (9780803924253)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Paul Newbold was born in England in 1945. In 1966 he obtained a BSc in Economics at the London School of Economics, before continuing to study for a PhD in Statistics at the University of Wisconsin. He worked under the supervision of George
Box, and was awarded his PhD in 1970. His first academic posts were at the University of Nottingham, where he spent time in both the Department of Economics and the Department of Mathematics. From 1979-1994 he was Professor at the University of Illinois, before returning to the University of Nottingham in 1994 as Professor of Econometrics. Paul Newbold has had a large influence on the discipline of time series econometrics, particularly
in the areas of non-stationary time series, forecasting, and univariate time series analysis. He has published extensively in journals such as Journal
of Econometrics, Journal of Business and Economic Statistics, Journal of the American Statistical Association, Biometrika, and Econometric
Theory. He retired in 2006 and is now Emeritus Professor of Econometrics.
Box, and was awarded his PhD in 1970. His first academic posts were at the University of Nottingham, where he spent time in both the Department of Economics and the Department of Mathematics. From 1979-1994 he was Professor at the University of Illinois, before returning to the University of Nottingham in 1994 as Professor of Econometrics. Paul Newbold has had a large influence on the discipline of time series econometrics, particularly
in the areas of non-stationary time series, forecasting, and univariate time series analysis. He has published extensively in journals such as Journal
of Econometrics, Journal of Business and Economic Statistics, Journal of the American Statistical Association, Biometrika, and Econometric
Theory. He retired in 2006 and is now Emeritus Professor of Econometrics.
Content
Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets