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

Published online by Cambridge University Press:  18 October 2010

V.K. Jandhyala and
I.B. MacNeill
V.K. Jandhyala
Affiliation:
Washington State University
I.B. MacNeill
Affiliation:
The University of Western Ontario
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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.

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Type
Articles
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992, pp. 501 - 517
Copyright
Copyright © Cambridge University Press 1992

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