Since 2014
Ratio Testing for Changes in the Long Memory Indexes in Presence of Breaks in Mean
International Business and Management
View Archive Info| Field | Value | |
| Title |
Ratio Testing for Changes in the Long Memory Indexes in Presence of Breaks in Mean
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| Creator |
CAO, Wenhua
JIN, Hao |
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| Subject |
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| 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.
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| Publisher |
Canadian Research & Development Center of Sciences and Cultures
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| Contributor |
—
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| Date |
2017-02-26
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://www.cscanada.net/index.php/ibm/article/view/9336
10.3968/9336 |
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| Source |
International Business and Management; Vol 14, No 1 (2017): International Business and Management; 48-63
1923-8428 1923-841X |
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| Language |
eng
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| Relation |
http://www.cscanada.net/index.php/ibm/article/view/9336/pdf
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| Coverage |
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| Rights |
Copyright (c) 2017 Wenhu CAO
http://creativecommons.org/licenses/by/4.0 |
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