Testing for Random Walk Coefficients in Regression and State Space Models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
1998
|
| Schriftenreihe: | Contributions to Statistics
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XVI, 317p. 38 illus) |
| ISBN: | 9783642997990 9783790811322 |
| ISSN: | 1431-1968 |
| DOI: | 10.1007/978-3-642-99799-0 |
Internformat
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Datensatz im Suchindex
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:12Z |
| institution | BVB |
| isbn | 9783642997990 9783790811322 |
| issn | 1431-1968 |
| language | English |
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| series2 | Contributions to Statistics |
| spelling | Moryson, Martin Verfasser aut Testing for Random Walk Coefficients in Regression and State Space Models by Martin Moryson Heidelberg Physica-Verlag HD 1998 1 Online-Ressource (XVI, 317p. 38 illus) txt rdacontent c rdamedia cr rdacarrier Contributions to Statistics 1431-1968 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 Economics Economics / Statistics Econometrics Economics/Management Science Statistics for Business/Economics/Mathematical Finance/Insurance Management Statistik Wirtschaft Lineares Regressionsmodell (DE-588)4127971-2 gnd rswk-swf Irrfahrtsproblem (DE-588)4162442-7 gnd rswk-swf Statistischer Test (DE-588)4077852-6 gnd rswk-swf Regressionskoeffizient (DE-588)4177449-8 gnd rswk-swf Zustandsraum (DE-588)4132647-7 gnd rswk-swf 1\p (DE-588)4113937-9 Hochschulschrift gnd-content Lineares Regressionsmodell (DE-588)4127971-2 s Regressionskoeffizient (DE-588)4177449-8 s Zustandsraum (DE-588)4132647-7 s Irrfahrtsproblem (DE-588)4162442-7 s Statistischer Test (DE-588)4077852-6 s 2\p DE-604 https://doi.org/10.1007/978-3-642-99799-0 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Moryson, Martin Testing for Random Walk Coefficients in Regression and State Space Models Economics Economics / Statistics Econometrics Economics/Management Science Statistics for Business/Economics/Mathematical Finance/Insurance Management Statistik Wirtschaft Lineares Regressionsmodell (DE-588)4127971-2 gnd Irrfahrtsproblem (DE-588)4162442-7 gnd Statistischer Test (DE-588)4077852-6 gnd Regressionskoeffizient (DE-588)4177449-8 gnd Zustandsraum (DE-588)4132647-7 gnd |
| subject_GND | (DE-588)4127971-2 (DE-588)4162442-7 (DE-588)4077852-6 (DE-588)4177449-8 (DE-588)4132647-7 (DE-588)4113937-9 |
| title | Testing for Random Walk Coefficients in Regression and State Space Models |
| title_auth | Testing for Random Walk Coefficients in Regression and State Space Models |
| title_exact_search | Testing for Random Walk Coefficients in Regression and State Space Models |
| title_full | Testing for Random Walk Coefficients in Regression and State Space Models by Martin Moryson |
| title_fullStr | Testing for Random Walk Coefficients in Regression and State Space Models by Martin Moryson |
| title_full_unstemmed | Testing for Random Walk Coefficients in Regression and State Space Models by Martin Moryson |
| title_short | Testing for Random Walk Coefficients in Regression and State Space Models |
| title_sort | testing for random walk coefficients in regression and state space models |
| topic | Economics Economics / Statistics Econometrics Economics/Management Science Statistics for Business/Economics/Mathematical Finance/Insurance Management Statistik Wirtschaft Lineares Regressionsmodell (DE-588)4127971-2 gnd Irrfahrtsproblem (DE-588)4162442-7 gnd Statistischer Test (DE-588)4077852-6 gnd Regressionskoeffizient (DE-588)4177449-8 gnd Zustandsraum (DE-588)4132647-7 gnd |
| topic_facet | Economics Economics / Statistics Econometrics Economics/Management Science Statistics for Business/Economics/Mathematical Finance/Insurance Management Statistik Wirtschaft Lineares Regressionsmodell Irrfahrtsproblem Statistischer Test Regressionskoeffizient Zustandsraum Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-99799-0 |
| work_keys_str_mv | AT morysonmartin testingforrandomwalkcoefficientsinregressionandstatespacemodels |