In the context of a general regression model in which some regression coefficients are of interest and others are purely nuisance parameters, we derive the density function of a maximal invariant statistic with the aim of testing for the inclusion of regressors (either linear or non-linear) in...

The average exponential tests for structural change of Andrews and Ploberger (Econometrica, 62, 1994) and Andrews, Lee and Ploberger (Journal of Econometrics 70, 1996) and modifications thereof maximize a weighted average power which incorporates specific weighting functions in order to make the...