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An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model

✍ Scribed by Lynn Roy LaMotte and Archer McWhorter, Jr.

Book ID
125215724
Publisher
American Statistical Association
Year
1978
Tongue
English
Weight
789 KB
Volume
73
Category
Article
ISSN
0162-1459

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## Abstract A linear regression model with random walk coefficients is extended to allow for linear restrictions between the coefficients to be satisfied at each point in time. Estimation in this model is shown to be no more involved than estimation in the standard model. It is also demonstrated ho