Description: Testing for Random Walk Coefficients in Regression and State Space Models by Martin Moryson Estimated delivery 3-12 business days Format Paperback Condition Brand New Description Regression and state space models with time varying coefficients are treated in a thorough manner. 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. Publisher Description A treatment of regression and state space models with time varying coefficients. Space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained, and 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. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided regarding which test to choose in a particular situation. Moreover, different new tests are proposed, which are suitable in situations with autocorrelated or heteroskedsatic 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 vary over time. Details ISBN 3790811327 ISBN-13 9783790811322 Title Testing for Random Walk Coefficients in Regression and State Space Models Author Martin Moryson Format Paperback Year 1998 Pages 317 Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:140267315; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys
Price: 125.44 USD
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Restocking Fee: No
Return shipping will be paid by: Buyer
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Refund will be given as: Money Back
ISBN-13: 9783790811322
Book Title: Testing for Random Walk Coefficients in Regression and State Spac
Number of Pages: Xvi, 317 Pages
Publication Name: Testing for Random Walk Coefficients in Regression and State Space Models
Language: English
Publisher: Physica-Verlag
Subject: Probability & Statistics / Stochastic Processes, Probability & Statistics / Regression Analysis, Probability & Statistics / General, System Theory, Econometrics, Statistics
Publication Year: 1998
Item Weight: 18 Oz
Type: Textbook
Item Length: 9.3 in
Author: M. Moryson
Subject Area: Mathematics, Science, Business & Economics
Series: Contributions to Statistics Ser.
Item Width: 6.1 in
Format: Trade Paperback
