方法证据记录
Time-varying parameter GLS
Time-varying parameter GLS extends generalized least squares to settings where regression coefficients are not fixed constants but evolve over time according to a stochastic process. By embedding the model in a state-space framework and applying GLS corrections for non-spherical errors, it captures structural change, regime shifts, and gradually drifting relationships in time-series data.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Time-Varying Parameter Generalized Least Squares
分类方法记录 · regression-model / econometrics
- Cooley, T. F., & Prescott, E. C. (1976). Estimation in the presence of stochastic parameter variation. Econometrica, 44(1), 167–184. · DOI 10.2307/1911389
- Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. · ISBN 9780521321969
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