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A Survey of Stochastic Parameter Regression

In: Annals of Economic and Social Measurement, Volume 2, number 4

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  • Barr Rosenberg

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Suggested Citation

  • Barr Rosenberg, 1973. "A Survey of Stochastic Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 381-397, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:9933
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    Cited by:

    1. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    2. Bill McDonald & William D. Nichols, 1984. "Nonstationarity Of Beta And Tests Of Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 315-322, December.
    3. Christopher B. Barry, 1980. "Bayesian Betas And Deception: A Comment," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 85-90, March.
    4. Ralf Becker & Walter Enders & Stan Hurn, 2001. "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation," Research Paper Series 67, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Aknouche Abdelhakim, 2013. "Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 25-46, January.
    6. Winston T. Lin & Hong-Jen Lin & Yueh H. Chen, 2002. "The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 167-195, September.
    7. Sonia Sotoca López, 1994. "Una nota sobre la estimación eficiente de modelos con parámetros cambiantes," Documentos de Trabajo del ICAE 9408, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Francisco F. R. Ramos, 1996. "VAR Priors: Success or lack of a decent macroeconomic theory?," Econometrics 9601002, University Library of Munich, Germany.
    9. Alexander H. Sarris, 1974. "A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations," NBER Working Papers 0038, National Bureau of Economic Research, Inc.
    10. Winston T. Lin, 1999. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 173-221, September.
    11. James B. Kau & Thomas M. Springer, 1993. "An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 69-86.
    12. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.

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