Testing for Random Walk Coefficients in Regression and State Space Models

ISBN-13: 9783790811322 / Angielski / Miękka / 1998 / 317 str.

Martin Moryson; M. Moryson

Opis

A treatment of regression and state space models with time varying coefficients. The main part of the work deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk.

Spis treści

Introduction.- The Linear State Space Model: The Model Set-up; Some Basic Results; Interpretation of the State Space Model; The Kalman Filter and Smoother; Estimation of the Hyperparameters; An Illustrative Example; Forecasting.- Exact Tests for Univariate Random Walk Coefficients: The Testing Problem; An Exact F-Test; A Point Optimal Invariant Test; The Locally Best Invariant Test; Simulation Study; Appendix: Determination of Critical Values.- Asymptotic Tests for Univariate Random Walk Coefficients in Models with Non-Stationary Regressors: Introduction; The Model and the Estimators; Asymptotic Distribution of Test Statistics Based on OLS Estimators; Asymptotic Distribution of Test Statistics Based on Asymptotically Efficient Estimators; Testing the Constancy of the Intercept; Simulation Study; Tests with Polynomial Regressors.- Testing Trend Stationarity Against Difference Stationarity in Time Series: Introduction; The KPSS Test; The Test of Leybourne & McCabe; The Choi Test; The Tsay Test; POI and LBI Tests; Simulation Study.- Testing for Multivariate Random Walk Coefficients in Regression Models: The Testing Problem; Exact Tests; Simulation Study: Exact Tests; Asymptotic Tests in Models with Integrated Regressors; Simulation Study: Integrated Regression.- Testing for Random Walk Coefficients in the Presence of Varying Coefficients under H0: The Testing Problem; Asymptotic Tests; Simulation Study.- The Term Structure of German Interest Rates - Testing the Expectations Hypothesis: The Data; Tests; Estimation of State Space Models; Conclusions.- Résumé and Prospects.