Testing for Random Walk Coefficients in Regression and State Space Models

Name: Testing for Random Walk Coefficients in Regression and State Space Models
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783790811322
Price: 550.04 RON
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Autor: Martin Moryson

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Editura: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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Regression and state space models with time varying coefficients are treated in a thorough manner. S...

Informații despre carte

Autor

Martin Moryson

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

1998

Pagini

317

EAN

9783790811322

ISBN

3790811327

Enbook ID

06957466

Editura

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Greutate

511

Dimensiuni

155 x 235 x 19

Descriere completă

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 situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. 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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Testing for Random Walk Coefficients in Regression and State Space Models

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