@inproceedings{Watson2003OptimalTF, title={Optimal Tests for Reduced Rank Time Variation in Regression Coefficients and Level Variation in the Multivariate Local Level Model}, author={Mark W. Watson}, year={2003} }

- Published 2003

This paper constructs tests for martingale time variation in regression coefficients in the regression model y t = x t ′β t + u t , where β t is k×1, and Σ β is the covariance matrix of Δβ t. Under the null there is no time variation, so H o : Σ β = 0; under the alternative there is time variation in r linear combinations of the coefficients, so H a : rank… CONTINUE READING

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