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Theory and Application of an Estimation Model for Time Series with Nonstationary Means

Author

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  • Melvin Hinich

    (Hudson Laboratories of Columbia University and Carnegie Institute of Technology)

  • John U. Farley

    (Carnegie Institute of Technology)

Abstract

Time series models of a complex nature, such as consumer brand switching analyses, have required assumptions of parameter stability because statistical models were not available to deal with parameter change. A model is developed here to estimate a stepwise change in the mean process of a Gaussian time series. Estimators which are small-sample efficient in a special sense are presented, along with examples and suggested applications of the method to brand switching problems.

Suggested Citation

  • Melvin Hinich & John U. Farley, 1966. "Theory and Application of an Estimation Model for Time Series with Nonstationary Means," Management Science, INFORMS, vol. 12(9), pages 648-658, May.
    • Handle: RePEc:inm:ormnsc:v:12:y:1966:i:9:p:648-658
    DOI: 10.1287/mnsc.12.9.648
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    Cited by:

    1. Hinich, Melvin J. & Foster, John & Wild, Phillip, 2006. "Structural change in macroeconomic time series: A complex systems perspective," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 136-150, March.

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