Testing for Random Walk Coeecients in a Simple State Space Model

  • Martin Moryson
  • Published 1994

Abstract

Three diierent tests for random walk coeecients in linear regression models have become popular: The LaMotte & McWhorter 1978] F-tests, the LBI test by Nyblom & MM akell ainen 1983], and the POI test by King 1980], especially in the version of Shively 1988]. This paper extends these traditional tests for random walk coeecients in linear regression models to… (More)

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Cite this paper

@inproceedings{Moryson1994TestingFR, title={Testing for Random Walk Coeecients in a Simple State Space Model}, author={Martin Moryson}, year={1994} }