Testing for Random Walk Coefficients in Regression and State Space Models

✍ Scribed by Dr. Martin Moryson (auth.)

• Publisher: Physica-Verlag Heidelberg
• Year: 1998
• Tongue: English
• Leaves: 325
• Series: Contributions to Statistics
• Edition: 1
• Category: Library

✦ Synopsis

Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

✦ Table of Contents

Front Matter....Pages i-xv
Introduction....Pages 1-5
The Linear State Space Model....Pages 7-59
Exact Tests for Univariate Random Walk Coefficients....Pages 61-99
Asymptotic Tests for Univariate Random Walk Coefficients in Models with Stationary Regressors....Pages 101-130
Asymptotic Tests for Univariate Random Walk Coefficients in Models with Non-Stationary Regressors....Pages 131-181
Testing Trend Stationarity Against Difference Stationarity in Time Series....Pages 183-200
Testing for Multivariate Random Walk Coefficients in Regression Models....Pages 201-254
Testing for Random Walk Coefficients in the Presence of Varying Coefficients Under H 0 ....Pages 255-275
The Term Structure of German Interest Rates — Testing the Expectations Hypothesis....Pages 277-295
Résumé and Prospects....Pages 297-300
Back Matter....Pages 301-317

✦ Subjects

Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance