Abstract
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 distribution of the point optimal invariant (POI) test statistic when we can derive the limiting distribution of the LBI test statistic. We prove that the limiting characteristic function of the POI test statistic can be expressed using that of the LBI test statistic.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
