Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model

DOI10.2307/2288196zbMATH Open0531.62063OpenAlexW4230727087MaRDI QIDQ3313147FDOQ3313147

Authors: Jukka Nyblom, Timo Maekelaeinen

Publication date: 1983

Full work available at URL: https://doi.org/10.2307/2288196

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Publication:3489048

linear models Bahadur efficiency Pitman efficiency locally most powerful invariant test time varying parameters comparisons of tests random walk coefficients

Mathematics Subject Classification ID

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

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