On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives

V.K. Jandhyala and I.B. MacNeill

Econometric Theory, 1992, vol. 8, issue 4, 501-517

Abstract: The locally best invariant statistic to test for the constancy of regression coefficients under a random walk alternative is shown to be the same as a Bayesian-type statistic derived under a change-point alternative. Asymptotic theory for this and more general statistics is discussed.

Date: 1992
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