The estimation of parametric change in time-series models
Kaldor, J. M.
This thesis examines methods for detecting structural
change in parametric time-series models. This detection
is accomplished through the use of random walk models of
the parameter variation. Although the model of main interest
is the transfer function models the methods developed are
largely adaptations of procedures used for regression models
as the exact theory for the time-series case is generally
too complex. An instrumental variable smoothing algorithm
for estimating parametric...[Show more]
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