Thanks to everyone who answered my question. The various reservations
about such a test were spot on, and helpful.
My own reservations were because, I think, it is not at all clear what
the null would be in this case. Are you testing mu = beta_0 (so using
the null model with fixed mean) or beta_0 = mu (so using the regression
model with potentially variable mean).
Alan
--
Alan McLean ([EMAIL PROTECTED])
Department of Econometrics and Business Statistics
Monash University, Caulfield Campus, Melbourne
Tel: +61 03 9903 2102 Fax: +61 03 9903 2007
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