A Randomised Test to Distinguish Time‐Varying Coefficient Models
提出两种基于随机化过程的检验，用于判断时变系数是确定性时间函数还是单位根过程，模拟和实证表现良好。
ABSTRACT Time‐varying coefficient models have drawn great attention in both theoretical and empirical research. This article introduces two consistent tests, based on a randomised procedure, to distinguish whether time‐varying coefficients behave as deterministic functions of time or as unit root processes. By formulating the null hypothesis for each specification, we establish that the proposed test statistics asymptotically follow a chi‐squared distribution under their respective null hypotheses and diverge to infinity in probability under their respective alternative hypotheses. Simulation studies demonstrate the satisfactory performance of both test statistics in finite samples. Furthermore, we apply the proposed tests to analyse various financial and macroeconomic datasets. The results of the tests reveal that deterministic functions of time should be adopted for these applications.