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Testing for Random Walk Coefficients in Regression and State Space Models
Martin Moryson
€ 128.12
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Description for Testing for Random Walk Coefficients in Regression and State Space Models
Paperback. A treatment of regression and state space models with time varying coefficients. The main part of the work deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Series: Contributions to Statistics. Num Pages: 317 pages, 72 black & white tables, biography. BIC Classification: PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 234 x 156 x 17. Weight in Grams: 510.
Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular ... Read more
Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular ... Read more
Product Details
Format
Paperback
Publication date
1998
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
317
Condition
New
Series
Contributions to Statistics
Number of Pages
317
Place of Publication
Heidelberg, Germany
ISBN
9783790811322
SKU
V9783790811322
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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