In this article, the authors show that a generalized version of H. J. Bierens' integrated conditional moment (ICM) test of functional form has nontrivial root-n local power, where n is the sample size, and that for a class of large local alternatives the consistent ICM test is more powerful than...

This paper proposes a class of optimal tests for the constancy of parameters in random coefficients models. Our testing procedure covers the class of Hamilton's models, where the parameters vary according to an unobservable Markov chain, but also applies to nonlinear models where the random...

The authors show that the CUSUM test of the stability over time of the coefficients of a linear regression model, which is usually based on recursive residuals, can also be applied to ordinary least squares residuals. The authors derive the limiting null distribution of the resulting test and...

This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard...

A limiting representation of the Bayesian data density is obtained and shown to be the same general exponential form for a wide class of likelihoods and prior distributions. An embedding theorem is given which shows how to embed the exponential density in a continuous time process. From the...

This paper characterizes empirically achievable limits for time series econometric modeling and forecasting. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the...

The well-known CUSUM test for structural change is investigated whe n there are lagged dependent variables among the regressors in a linear model. The authors show that both a modified CUSUM test, suggested b y J. M. Dufour (1982), and the straightforward CUSUM test retain their asymptotic...