6 Moments and constancy of regression

2021 ◽  
pp. 143-158
Keyword(s):  
Constancy Of Regression

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

1992 ◽  
Vol 8 (4) ◽  
pp. 501-517 ◽  
Author(s):  
V.K. Jandhyala ◽  
I.B. MacNeill
Keyword(s):  
Random Walk ◽  
Change Point ◽  
Asymptotic Theory ◽  
Regression Coefficients ◽  
Type Statistic ◽  
Invariant Statistic ◽  
Constancy Of Regression

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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