A Framework for Time Varying Parameter Regression Modeling
构建了一个时变参数回归模型框架，并用利文斯顿数据建模和预测价格预期。通过比较不同参数随机过程和解释变量组合的模型，评估预期形成过程。
A framework for time varying parameter regression models is developed and employed in modeling and forecasting price expectations, using the Livingston data. Alternative model formulations, which include various choices for both the stochastic processes generating the varying parameters and the sets of explanatory variables, are examined and compared by using this framework. These models, some of which have appeared elsewhere and some of which are new, are estimated and used to assess the expectations formation process.