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Prediction Using Partly Conditional Time-Varying Coefficients Regression Models

✍ Scribed by Margaret Sullivan Pepe; Patrick Heagerty; Robert Whitaker

Book ID: 110724616
Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 713 KB
Volume: 55
Category: Article
ISSN: 0006-341X
DOI: 10.1111/j.0006-341x.1999.00944.x

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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