Estimating Time-Varying Coefficients with Rolling Regression

Gaussian Random Walk as priors for regression coefficients

One of the challenges in regression analysis is to account for the possibility that the relationship between the predictor variables and the response variable may change over time.

From Data Science to Econometrics

Time and again data scientists come across scenarios where business has assumptions and our models must incorporate the possibility that they’re right.

Vanilla regression models are great at estimating E[Y|X]. The coefficient of …

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