ON TESTING FOR THE CONSTANCY OF REGRESSION-COEFFICIENTS UNDER RANDOM-WALK AND CHANGE-POINT ALTERNATIVES

被引：13

作者：

JANDHYALA, VK ^{[1
]}

MACNEILL, IB ^{[1
]}

机构：

[1] UNIV WESTERN ONTARIO,LONDON N6A 3K7,ONTARIO,CANADA

来源：

ECONOMETRIC THEORY | 1992年 / 8卷 / 04期

关键词：

D O I：

10.1017/S0266466600013190

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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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收藏

页码：501 / 517

页数：17

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