Stochastic Parameter Regression Models
Book Details
Format
Paperback / Softback
Book Series
Quantitative Applications in the Social Sciences
ISBN-10
0803924259
ISBN-13
9780803924253
Publisher
SAGE Publications Inc
Imprint
SAGE Publications Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 30th, 1985
Print length
80 Pages
Weight
116 grams
Dimensions
21.60 x 15.10 x 0.50 cms
Product Classification:
Applied mathematics
Ksh 6,650.00
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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.
This excellent introduction to stochastic parameter regression models is more advanced and technically difficult than other papers in this series. These models allow relationships to vary through time, rather than requiring them to be fixed, without forcing the analyst to specify and analyze the causes of the time-varying relationships. This volume will be most useful to those with a good working knowledge of standard regression models and who wish to understand methods which deal with relationships that vary slowly over time, but for which the exact causes of variation cannot be identified.
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