Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples, due to "incorrect" estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power...

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi et al. [Baltagi, B.H., Bresson, G., Pirotte, A., 2006. Joint LM test for homoskedasticity in a one-way error component model. Journal of Econometrics 134, 401-417]. Our tests have two...