Optimal Tests for Reduced Rank Time Variation in Regression Coefficients and Level Variation in the Multivariate Local Level Model

@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}
}
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