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

DOI10.2307/2286286zbMath0396.62047OpenAlexW4238873628MaRDI QIDQ4179698

Archer Jun. McWhorter, Lynn Roy La Motte

Publication date: 1978

Full work available at URL: https://doi.org/10.2307/2286286

zbMATH Keywords

RegressionHypothesis TestingVariance ComponentsRandom CoefficientsTime- Varying Parameters

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (14)

Testing the constancy of regression parameters against continuous structural change ⋮ A family of unbiased confidence intervals for a ratio of variance components ⋮ Tests for the order of integration against higher order integration ⋮ Measuring the degree of convergence among European business cycles ⋮ A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models ⋮ THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK ⋮ The generalized fluctuation test: A unifying view ⋮ Estimation of covariance components for random-walk regression parameters ⋮ AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL ⋮ Unilateral conformance proportions in balanced and unbalanced normal random effects models ⋮ Testing a null variance ratio in mixed models with zero degrees of freedom for error ⋮ Unnamed Item ⋮ One-sided tolerance limits for unbalanced one-way random effects models: a generalized Mee and Owen procedure ⋮ On the Transmission Mechanism of Monetary Policy

This page was built for publication: An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model