Theory and Application of an Estimation Model for Time Series with Nonstationary Means

Melvin Hinich and John U. Farley
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John U. Farley: Carnegie Institute of Technology

Management Science, 1966, vol. 12, issue 9, 648-658

Abstract: Time series models of a complex nature, such as consumer brand switching analyses, have required assumptions of parameter stability because statistical models were not available to deal with parameter change. A model is developed here to estimate a stepwise change in the mean process of a Gaussian time series. Estimators which are small-sample efficient in a special sense are presented, along with examples and suggested applications of the method to brand switching problems.

Date: 1966
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:12:y:1966:i:9:p:648-658

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