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Pre-test procedures and forecasting in the regression model under restrictions

✍ Scribed by G. Trenkler; H. Toutenburg


Book ID
103798036
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
424 KB
Volume
30
Category
Article
ISSN
0378-3758

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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