The robustness of point optimal testing for rosenberg random regression coefficients

Robert D. Brooks

doi:10.1080/07474939508800302

The robustness of point optimal testing for rosenberg random regression coefficients

Robert D. Brooks

Research output: Contribution to journal › Article › Research › peer-review

5 Citations (Scopus)

Abstract

The literature on testing for the presence of Rosenberg’s (1973) return to normalcy random coefficient model is well developed with both Shively (1988) and Brooks (1993) advocating the use of point optimal tests. This paper explores the robustness of point optimal testing for the Rosenberg alternative to two departures: the special case Hildreth-llouck (1968) alternative and non-normality in regression disturbances, finding the point optimal testing approach to be fairly robust to both departures.

Original language	English
Pages (from-to)	35-53
Number of pages	19
Journal	Econometric Reviews
Volume	14
Issue number	1
DOIs	https://doi.org/10.1080/07474939508800302
Publication status	Published - 1 Jan 1995
Externally published	Yes

Keywords

robustness non-normality
varying coefficient regression models point optimal testing

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10.1080/07474939508800302

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The robustness of point optimal testing for rosenberg random regression coefficients

Abstract

Keywords

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