On The Distribution Of Some Test Statistics For Coefficient Constancy
BIOMETRIKA(1989)
摘要
This paper investigates the distribution of the locally best invariant test for coefficient constancy, against the random walk alternative, in a regression model which may contain nonvarying coefficients. Unfortunately, the distribution of the locally best invariant test depends critically on the exogenous variables of the model, even asymptotically. A modification is suggested which has a known asymptotic distribution regardless of the regression effect.
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关键词
test statistics,distribution,coefficient
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