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.
|Number of pages||15|
|Journal||Communications in Statistics - Simulation and Computation|
|Publication status||Published - 1 Jan 1997|
- Hypothesis testing
- Varying parameter regression models