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Efficient Estimation of Fixed and Time-varying Covariate Effects in Multiplicative Intensity Models

✍ Scribed by TORBEN MARTINUSSEN; THOMAS H. SCHEIKE; IB M. SKOVGAARD

Book ID
108535969
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
259 KB
Volume
29
Category
Article
ISSN
0303-6898

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## Abstract A linear regression model with random walk coefficients is extended to allow for linear restrictions between the coefficients to be satisfied at each point in time. Estimation in this model is shown to be no more involved than estimation in the standard model. It is also demonstrated ho