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

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  • Jandhyala, V.K.
  • MacNeill, I.B.

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.

Suggested Citation

  • Jandhyala, V.K. & MacNeill, I.B., 1992. "On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives," Econometric Theory, Cambridge University Press, vol. 8(4), pages 501-517, December.
    • Handle: RePEc:cup:etheor:v:8:y:1992:i:04:p:501-517_01
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    Cited by:

    1. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
    2. repec:wut:journl:v:3-4:y:2011:id:1015 is not listed on IDEAS
    3. El-Bassiouni, M. Y. & Charif, H. A., 2004. "Testing a null variance ratio in mixed models with zero degrees of freedom for error," Computational Statistics & Data Analysis, Elsevier, vol. 46(4), pages 707-719, July.
    4. Manohar B. Rajarshi & Thekke V. Ramanathan & Chanchala A. Ghadge, 2011. "Rank based tests for testing the constancy of the regression coefficients against random walk alternatives," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 21(3-4), pages 35-55.

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