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Testing for Random Walk Coefficients in a Simple State Space Model

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  • Moryson, Martin

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  • Moryson, Martin, 1994. "Testing for Random Walk Coefficients in a Simple State Space Model," SFB 373 Discussion Papers 1994,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199421
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    Cited by:

    1. Meier Carsten-Patrick, 2001. "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland. Eine Anmerkung / Trends and Cycles in Germany’s Real Gross Domestic Product. A Note," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(2), pages 168-178, April.
    2. Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008. "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 1(1), pages 1-20.
    3. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.
    4. Rainer Schulz & Hizir Sofyan & Axel Werwatz & Rodrigo Witzel, 2003. "Online Prediction of Berlin Single-Family House Prices," Computational Statistics, Springer, vol. 18(3), pages 449-462, September.
    5. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
    6. Meier, Carsten-Patrick, 2000. "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung," Kiel Working Papers 993, Kiel Institute for the World Economy (IfW Kiel).
    7. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
    8. Giuseppe Storti & Cosimo Vitale, 2003. "Likelihood inference in BL-GARCH models," Computational Statistics, Springer, vol. 18(3), pages 387-400, September.

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