scientific article; zbMATH DE number 846034

MaRDI QIDQ4864554zbMATH OpenFDO

Authors M. W. Leslie Chandrakantha, Jatinder S. Mehta, P. A. V. B. Swamy

Publication date 20 February 1996

zbMATH Keywords

regression modelrandom walk modelpowers of testsratios of variancesunknown functional formratios of a sample second moment

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Sums of independent random variables; random walks (60G50)

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Cited in

(12)

• A sequential procedure for testing the existence of a random walk model in finite samples
• Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
• On the second-order random walk model for irregular locations
• Four tests for the random walk hypothesis: power versus robustness
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Effects of non-normality on tests of random walk models against effects of non-normality
• The Dickey-Fuller test for exponential random walks
• Circumstances in which different criteria of estimation can be applied to estimate policy effects
• An optimal test against a random walk component in a non‐orthogonal unobserved components model
• New variance ratio tests to identify random walk from the general mean reversion model
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Testing the random walk hypothesis: power versus frequency of observation

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