Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters
Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters
In this paper we consider the time-varying parameter model. Since there is no uniformly most powerful test for the constancy of parameters, the locally best invariant (LBI) test has often been considered in the literature, including the study by Nabeya and Tanaka (1988). We show the existence of the limiting …