Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined … all the observations within the time interval under the null hypothesis that beta is constant. Using it we form an … shrinking time span. Optimality of the test is considered as well. We document satisfactory finite sample properties of the test …