On the distribution of some test statistics for coefficient constancy

DOI10.1093/BIOMET/76.1.169zbMath0664.62013OpenAlexW1995702228MaRDI QIDQ3814542

Stephen J. Leybourne, B. P. M. McCabe

Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/76.1.169

zbMATH Keywords

weak convergenceBrownian motionpartial sum processBrownian bridgeregression modelmixing processlocally best invariant test for coefficient constancyrandom walk alternative

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (12)

Coefficient constancy test in AR-ARCH models ⋮ Structural change and unit roots ⋮ The generalized fluctuation test: A unifying view ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? ⋮ Inference of time-varying regression models ⋮ Computation of limiting distributions in stationarity testing with a generic trend ⋮ Stationarity against integration in the autoregressive process with polynomial trend ⋮ Stationarity testing under nonlinear models. Some asymptotic results ⋮ Coefficient constancy test in a random coefficient autoregressive model ⋮ Time-varying nonlinear regression models: nonparametric estimation and model selection ⋮ Simultaneous inference for time-varying models

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