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Tests for Random Walk Coefficients in State Space Models

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Author Info
M. MORYSON

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1996-66.

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Handle: RePEc:wop:humbsf:1996-66

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References listed on IDEAS
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  1. Tanaka, Katsuto, 1983. "Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients," Econometrica, Econometric Society, vol. 51(5), pages 1577-82, September. [Downloadable!] (restricted)
  2. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December. [Downloadable!] (restricted)
  3. 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)
  4. Leybourne, S J & McCabe, B P M, 1989. "Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem," Empirical Economics, Springer, vol. 14(2), pages 105-12.
  5. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August. [Downloadable!] (restricted)
  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)
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