Testing for Parameter Variation in Non-Linear Regression Models
研究了非线性回归模型中参数随机变异的检验问题，基于不同近似构造得分型检验并推导渐近分布，通过理论和蒙特卡洛模拟考察局部检验功效，并给出货币需求函数的实证例子。
SUMMARY This paper addresses the problem of testing for purely random parameter variation in nonlinear regression models. Based on different approximations to the true density of the data, score-type tests are constructed and their asymptotic distributions are derived. The local power of the tests is investigated both theoretically and via Monte Carlo simulation. An empirical testing example, involving a well-known non-linear aggregate demand for money function, is also given.