Alternative point-optimal tests for regression coefficient stability
13
TL;DR: In this article, the authors consider alternative methods for the choice of values of the unknown parameters required to conduct the test, based on Cox and Hinkley's (1974, p. 102) idea of maximising some weighted average of powers.
read more
About: This article is published in Journal of Econometrics. The article was published on 01 May 1993. and is currently open access. The article focuses on the topics: Linear regression & Weighting.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Figures
Citations
Beta stability and portfolio formation
TL;DR: A number of studies using a variety of techniques over a range of different economies and time periods have found evidence of time instability in both individual common stock and porfolio betas as discussed by the authors.
51
Financial deregulation and relative risk of australian industry
Robert Darren Brooks,Robert W. Faff +1 more
- 01 Dec 1997
TL;DR: In this article, the authors examined the effect of financial deregulation on the level and stability of the beta risk of individual stocks and portfolios in other industries in both prederegulation and post-depletion periods.
15
Point optimal testing: A survey of the post 1987 literature
TL;DR: The paper concludes with thoughts on how best to deal with nuisance parameters under both the null and alternative hypotheses, as well as the development of a new class of point optimal tests for multi-dimensional testing.
A further examination of the effect of diversification on the stability of portfolio betas
TL;DR: In this article, the authors examined the extent to which portfolio formation can diversify away beta instability and found that a greater proportion of constant beta stocks are needed to maintain the relative stability of the portfolio.
11
References
Testing for serial correlation in least squares regression. II.
James Durbin,G. S. Watson +1 more
TL;DR: The problem of testing the errors for independence forms the subject of this paper and its successor and deals mainly with the theory on which the test is based, while the second paper describes the test procedures in detail and gives tables of bounds to the significance points of the test criterion adopted.
3.8K
Hypothesis testing when a nuisance parameter is present only under the alternative
TL;DR: In this article, the authors used a test derived from the corresponding family of test statistics appropriate for the case when 0 is given and applied to the two-phase regression problem in the normal case.
2.3K
Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks
TL;DR: In this paper, a procedure for obtaining unbiased and consistent estimates of the variance of the disturbance term (step variance) in the market risk of individual stocks and portfolios is presented under the random walk and autoregressive hypotheses for the stock market risk.
205
Some Further Evidence on the Stochastic Properties of Systematic Risk
TL;DR: In this article, the authors employ a model that allows beta t o exhibit both random and autoregressive behavior simultaneously, and test this model against alternative specifications on a large sampl e of individual securities and randomly formed portfolios comprising 10, 50, and 100 securities.
152