Using a sequence of point optimal tests to select a varying coefficient model

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Recent literature in empirical finance has strongly considered the possibility of varying coefficient specifications and has utilised sequences of tests to select a particular varying coefficient model for the data. This paper explores the use of a sequence of point optimal tests in this context and finds power to be the driving factor in correct model selection.

Original languageEnglish
Pages (from-to)671-685
Number of pages15
JournalCommunications in Statistics - Simulation and Computation
Issue number2
Publication statusPublished - 1 Jan 1997
Externally publishedYes


  • Hypothesis testing
  • Varying parameter regression models

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