Negative Positive
Title: Incomplete but useful...
Review: This book can be thought as a brief and incomplete summary of several linear estimation techniques and statistical tests for time-varying CAPM Betas, where Kalman filtering is presented as just one of these techniques, differently from what the book title suggests. There is an interesting chapter on Flexible Least Squares without a conclusion on its real usefullness on the calculation of time-varying Betas or on its link to KF. A comparison of the techniques (standard regressions x FLS x KF) is missing, and I had a hard time finding the computer code mentioned as the ftp server was de-activated (hint: [...]) These problemas aside the book is very useful for researchers engaged with time-varying regression models, with dozens of examples and plenty of source data and developed computer code written for GAUSS, that can be easily converted to other packages such as R or Matlab.
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