國立虎尾科技大學 |

Essays on Likelihood Ratio Test for Markov Switching.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on Likelihood Ratio Test for Markov Switching./
作者:	Zhang, Li.
面頁冊數:	1 online resource (48 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-10, Section: A.
Contained By:	Dissertations Abstracts International85-10A.
電子資源:	click for full text (PQDT)
ISBN:	9798381981155

Essays on Likelihood Ratio Test for Markov Switching.
Zhang, Li.

Essays on Likelihood Ratio Test for Markov Switching. - 1 online resource (48 pages)

Source: Dissertations Abstracts International, Volume: 85-10, Section: A.

Thesis (Ph.D.)--Washington University in St. Louis, 2024.

Includes bibliographical references

I propose a likelihood ratio test for fixed unit root against time switching unit root models. Our test is different from the existing jump detection literature centered on the application of various forms of Augmented Dickey-Fuller tests. Our methodology involves the inclusion of random coefficients, which effectively capture both expansion and contraction behaviors. We show that the contiguous alternatives converge to the null hypothesis at the order of T-3/4, where T is the sample size. Our test is asymptotically optimal in the sense that it maximizes a weighted power function. We derive the asymptotic distribution of our test under the null and local alternatives.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798381981155Subjects--Index Terms:

Dickey-Fuller testsIndex Terms--Genre/Form:

554714
Electronic books.

Essays on Likelihood Ratio Test for Markov Switching.
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533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
653 $a Dickey-Fuller tests
653 $a Asymptotic distribution
653 $a Markov switching
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773 0 $t Dissertations Abstracts International $g 85-10A.
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