Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem

  • S. J. Leybourne
  • B. P. M. McCabe
Conference paper
Part of the Studies in Empirical Economics book series (STUDEMP)


This article is concerned with Locally Best Invariant tests for coefficient stability in a univariate random walk coefficient regression model. In particular, we explore the effects that different assumptions about the initial value of the random walk process have on the form and asymptotic distribution of the resulting test statistics. When this initial value is allowed to be random, it is shown that the test statistics are either exactly the same, or possess the same asymptotic distributions, as when the initial value is fixed.

Key words

Brownian Motion Brownian Bridge Invariance Locally Best Invariant Test Mixing Random Walk Weak Convergence 


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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • S. J. Leybourne
    • 1
  • B. P. M. McCabe
    • 2
  1. 1.School of Business and Economic StudiesUniversity of LeedsLeedsEngland
  2. 2.University of SydneySydneyAustralia

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