scientific article; zbMATH DE number 815750

MaRDI QIDQ4855592zbMATH OpenFDO

Authors Stephen Leybourne, Brendan McCabe

Publication date 4 February 1996

zbMATH Keywords

asymptotic distributionBrownian bridgelocally mean most powerful testmultivariate linear regression modeloptimal testpolynomial time trend regression modelrandom coefficientsrandom walk coefficient variation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(10)

• A simple test for parameter constancy in a nonlinear time series regression model
• Testing for \(r\) versus \(r-1\) cointegrating vectors
• On stationary tests in the presence of structural breaks
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• Modified stationarity tests with improved power in small samples
• Testing for stationarity with a break
• Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
• Combination of multiple scores for nonparametric testing in multivariate linear regression set-up
• Multiple testing and variable selection along the path of the least angle regression
• Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression

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