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Testing for Random Walk Coefficients in a Simple State Space Model

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Author Info
Martin MORYSON

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1994-21.

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Handle: RePEc:wop:humbsf:1994-21

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  1. Shively, Thomas S., 1993. "Testing for autoregressive disturbances in a time series regression with missing observations," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 233-255. [Downloadable!] (restricted)
  2. Ansley, Craig F. & Kohn, Robert & Shively, Thomas S., 1992. "Computing p-values for the generalized Durbin-Watson and other invariant test statistics," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 277-300. [Downloadable!] (restricted)
  3. Brooks, Robert D., 1993. "Alternative point-optimal tests for regression coefficient stability," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 365-376. [Downloadable!] (restricted)
  4. Shively, Thomas S., 1988. "An analysis of tests for regression coefficient stability," Journal of Econometrics, Elsevier, vol. 39(3), pages 367-386, November. [Downloadable!] (restricted)
  5. Brooks, R.D. & King, M.L., 1994. "Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications," Monash Econometrics and Business Statistics Working Papers 1994-5, Monash University, Department of Econometrics and Business Statistics.
  6. Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August. [Downloadable!] (restricted)
  7. Silvapulle, Paramsothy & King, Maxwell L., 1993. "Nonnested testing for autocorrelation in the linear regression model," Journal of Econometrics, Elsevier, vol. 58(3), pages 295-314, August. [Downloadable!] (restricted)
  8. King, Maxwell L & Shively, Thomas S, 1993. "Locally Optimal Testing When a Nuisance Parameter Is Present Only under the Alternative," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 1-7, February. [Downloadable!] (restricted)
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