scientific article; zbMATH DE number 815749

MaRDI QIDQ4855591zbMATH OpenFDO

Authors Robert Darren Brooks, Maxwell L. King

Publication date 4 February 1996

zbMATH Keywords

financeLagrange multiplier testsreviewvarying coefficient regression modelspoint optimal testslocally most mean powerful testssmall sample powerHildreth-Houck random coefficientsreturn to normally random coefficientstesting forward pricing modelstesting market models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(4)

• Testing the constancy in varying-coefficient regression models
• Testing constancy in varying coefficient models
• Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
• Testing the linear regression model null hypothesis versus regime switching alternatives.

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