On the Distribution of Some Test Statistics for Coefficient Constancy
研究了回归模型中系数恒定性局部最优不变检验的分布，发现其分布依赖于外生变量，并提出一种修正方法使渐近分布与回归效应无关。
This paper investigates the distribution of the locally best invariant test for coefficient constancy, against the random walk alternative, in a regression model which may contain nonvarying coefficients. Unfortunately, the distribution of the locally best invariant test depends critically on the exogenous variables of the model, even asymptotically. A modification is suggested which has a known asymptotic distribution regardless of the regression effect.