Record Details

Ratio Testing for Changes in the Long Memory Indexes in Presence of Breaks in Mean

International Business and Management

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Field Value
 
Title Ratio Testing for Changes in the Long Memory Indexes in Presence of Breaks in Mean
 
Creator CAO, Wenhua
JIN, Hao
 
Subject


 
Description In this paper we consider the problem of detecting for breaks in the long memory indexes in presence of breaks in mean. The limiting distribution is derived under the null hypothesis and the alternative hypothesis, the ratio tests also diverge to infinity as the sample size grows. These results show that the reject rate seriously depends on the magnitude of change points. Finally, the Monte Carlo study presents that our test has reasonably good size and power properties.  
 
Publisher Canadian Research & Development Center of Sciences and Cultures
 
Contributor
 
Date 2017-02-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article

 
Format application/pdf
 
Identifier http://www.cscanada.net/index.php/ibm/article/view/9336
10.3968/9336
 
Source International Business and Management; Vol 14, No 1 (2017): International Business and Management; 48-63
1923-8428
1923-841X
 
Language eng
 
Relation http://www.cscanada.net/index.php/ibm/article/view/9336/pdf
 
Coverage


 
Rights Copyright (c) 2017 Wenhu CAO
http://creativecommons.org/licenses/by/4.0