Author | Moryson, Martin. author |
---|---|
Title | Testing for Random Walk Coefficients in Regression and State Space Models [electronic resource] / by Martin Moryson |
Imprint | Heidelberg : Physica-Verlag HD, 1998 |
Connect to | http://dx.doi.org/10.1007/978-3-642-99799-0 |
Descript | XVI, 317 p. online resource |
1 Introduction -- 2 The Linear State Space Model -- 2.1 The Model Set-up -- 2.2 Some Basic Results -- 2.3 Interpretation of the State Space Model -- 2.4 The Kalman Filter and Smoother -- 2.5 Estimation of the Hyperparameters -- 2.6 An Illustrative Example -- 2.7 Forecasting -- 3 Exact Tests for Univariate Random Walk Coefficients -- 3.1 The Testing Problem -- 3.2 An Exact F-Test -- 3.3 A Point Optimal Invariant Test -- 3.4 The Locally Best Invariant Test -- 3.5 Simulation Study -- 3.6 Appendix: Determination of Critical Values -- 4 Asymptotic Tests for Univariate Random Walk Coefficients in Models with Stationary Regressors -- 4.1 Introduction -- 4.2 Asymptotic Distribution of the LM/LBI Test -- 4.3 The Hansen Test -- 4.4 The Modified Hansen Test -- 4.5 The Test of Leybourne k McCabe -- 4.6 Simulation Study -- 5 Asymptotic Tests for Univariate Random Walk Coefficients in Models with Non-Stationary Regressors -- 5.1 Introduction -- 5.2 The Model and the Estimators -- 5.3 Asymptotic Distribution of the LM/LBI Test in the Presence of I(1) Regressors -- 5.4 Asymptotic Distribution of Test Statistics Based on OLS Estimators -- 5.5 Asymptotic Distribution of Test Statistics Based on Asymptotically Efficient Estimators -- 5.6 Testing the Constancy of the Intercept -- 5.7 Simulation Study -- 5.8 Tests with Polynomial Regressors -- 6 Testing Trend Stationarity Against Difference Stationarity in Time Series -- 6.1 Introduction -- 6.2 The KPSS Test -- 6.3 The Test of Leybourne & McCabe -- 6.4 The Choi Test -- 6.5 The Tsay Test -- 6.6 POI and LBI Tests -- 6.7 Simulation Study -- 7 Testing for Multivariate Random Walk Coefficients in Regression Models -- 7.1 The Testing Problem -- 7.2 Exact Tests -- 7.3 Simulation Study: Exact Tests -- 7.4 Asymptotic Tests in Models with Stationary Regressors -- 7.5 Simulation Study: Stationary Regressors -- 7.6 Asymptotic Tests in Models with Integrated Regressors -- 7.7 Simulation Study: Integrated Regressors -- 8 Testing for Random Walk Coefficients in the Presence of Varying Coefficients Under H0 -- 8.1 The Testing Problem -- 8.2 Asymptotic Tests -- 8.3 Simulation Study -- 9 The Term Structure of German Interest Rates โ Testing the Expectations Hypothesis -- 9.1 The Data -- 9.2 Tests -- 9.3 Estimation of State Space Models -- 9.4 Conclusions -- 10 Rรฉsumรฉ and Prospects -- References