Advertisement

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)

Summary

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 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Garbade K (1977) Two methods for examining the stability of regression coefficients. Journal of the American Statistical Society 72:54–63Google Scholar
  2. Herrndorf N (1984) A functional central limit theorem for weakly dependent sequences of random variables. Annals of Probability 12:141–153CrossRefGoogle Scholar
  3. Imhof JP (1961) Computing the distribution of quadratic forms in normal variables. Biometrika 48:419–426Google Scholar
  4. King ML, Hillier GH (1985) Locally best invariant tests of the error covariance matrix of the linear regression model. Journal of the Royal Statistical Society B 47:98–102Google Scholar
  5. Leybourne SJ, McCabe BPM (1989) On the distribution of some test statistics for coefficient constancy. Biometrika 76:1CrossRefGoogle Scholar

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

Personalised recommendations