Testing For Random Walk Coefficients In Regression And State Space Models
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Testing for Random Walk Coefficients in Regression and State Space Models
Author: Martin Moryson
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-12-06
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.
Foundations of Statistical Inference
Author: Yoel Haitovsky
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-12-06
This volume is a collection of papers presented at a conference held in Shoresh Holiday Resort near Jerusalem, Israel, in December 2000 organized by the Israeli Ministry of Science, Culture and Sport. The theme of the conference was "Foundation of Statistical Inference: Applications in the Medical and Social Sciences and in Industry and the Interface of Computer Sciences". The following is a quotation from the Program and Abstract booklet of the conference. "Over the past several decades, the field of statistics has seen tremendous growth and development in theory and methodology. At the same time, the advent of computers has facilitated the use of modern statistics in all branches of science, making statistics even more interdisciplinary than in the past; statistics, thus, has become strongly rooted in all empirical research in the medical, social, and engineering sciences. The abundance of computer programs and the variety of methods available to users brought to light the critical issues of choosing models and, given a data set, the methods most suitable for its analysis. Mathematical statisticians have devoted a great deal of effort to studying the appropriateness of models for various types of data, and defining the conditions under which a particular method work. " In 1985 an international conference with a similar title* was held in Is rael. It provided a platform for a formal debate between the two main schools of thought in Statistics, the Bayesian, and the Frequentists.
Household Behaviour, Equivalence Scales, Welfare and Poverty
Author: Camilo Dagum
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-12-06
A group of scholars converging on a common and socially relevant economic theme of research, that of households' welfare and poverty, met several times in the last two years to discuss the research progress and the opportunity to bring to gether for publication the research so far accomplished. They shared a research project supported by a grant from the former Italian Ministero dell'Universita e della Ricerca Scientifica e Tecnologica (MURST) now Ministero dell'Istruzione, dell'Universita e della Ricerca (MIUR): The Equiva lence Scales in the Measurement of Households' Welfare: Statistical, Economic and Demographic Analysis. The decisive meeting, an international seminar on the topics, was hosted by the University of Florence, siege of the national coordinator of this project. When one think of Florence, it is inevitable to think of the unfolding of Ren aissance, and reciprocally. th To the eyes of a traveller who had arrived to Florence in the 15 century, the city would have appeared as a sort of El Dorado, similarly to what would have occurred to the first conquerors of the South America's lands, so much astonishing were the richness of arts and the opulence of life. The flourishing of painting and sculpture had not equal all over the world and was reaching tops never made equal before. Masaccio, Brunelleschi, Donatello and later on Leonardo and Michelangelo, were the artistic and intellectual genius that enlightened beauty lovers princes.....