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Estimation and testing of time-varying coefficient regression models in the presence of linear restrictions

โœ Scribed by S. J. Leybourne

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
709 KB
Volume
12
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

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 how, after a slight modification to the testing problem, classical test procedures may be applied to the problem of testing for such restrictions. The performance of the Lagrange Multiplier test for a variety of different restrictions is then investigated via simulation. An empirical application involving testing for homogeneity in a random walk coefficient version of the AIDS model is given.

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## Abstract Consider the two linear regression models of __Y__~__ij__~ on __X__~__ij__~, namely __Y__~__ij__~ = ฮฒ~__io__~ + ฮฒ~__ij__~, __X__~__ij__~ + __E__~__ij__~ = 1, 2,โ€ฆ, __n__~__i__~, __i__ = 1, 2, where __E__~__ij__~ are assumed to be normally distributed with zero mean and common unknown var