Testing for random walk coefficients in regression and state space models

Testing for random walk coefficients in regression and state space models

by Martin Moryson

Part of Contributions to statistics

1998
Join Readfeed freeFind clubs reading this
Rate this book:

Browse books you can read free on Readfeed

No club is reading this yet — be the first to start one

Start a club free
About
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.

Discuss Testing for random walk coefficients in regression and state space models with other readers

Join or start a book club for Testing for random walk coefficients in regression and state space models on Readfeed. Live chat, shared reading progress, and AI discussion questions — free to get started.

Sign up freeBrowse book clubs

Frequently asked questions

How do I join a book club for Testing for random walk coefficients in regression and state space models?

Sign up free on Readfeed, then browse public clubs or start your own club with Testing for random walk coefficients in regression and state space models as the current read. Invite friends with a share link and discuss together with live chat and AI discussion questions.

Can I discuss Testing for random walk coefficients in regression and state space models with other readers online?

Yes. Readfeed book clubs let you chat live, share progress, and join discussions about Testing for random walk coefficients in regression and state space models with readers worldwide — whether your club is virtual, in-person, or hybrid.

Is Readfeed free?

Yes. Creating an account and joining book clubs is free. Sign up to find readers who love the same books and start discussing today.