Testing for Parameter Variation in Non-Linear Regression Models

Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1993 · Volume 55 · Issue 1

DOI: 10.1111/j.2517-6161.1993.tb01473.x

Abstract

This paper addresses the problem of testing for purely random parameter variation in nonlinear regression models. Based on different approximations to the true density of the data, score-type tests are constructed and their asymptotic distributions are derived. The local power of the tests is investigated both theoretically and via Monte Carlo simulation. An empirical testing example, involving a well-known non-linear aggregate demand for money function, is also given.

Keywords

local power, non-linear least squares, non-linear regression model, parameter variation, score test

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