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Search: subject:"non-monotonic power"
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Structural break
4
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Bertram, Philip
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Xu, Ke-Li
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Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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1
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
-
2018
Persistent link: https://www.econbiz.de/10011962445
Saved in:
2
A comparative study of volatility breaks
Grote, Claudia
;
Bertram, Philip
-
2015
data the tests may exhibit
non-monotonic
power
functions as the long-run variance of the squared return process is no …
Persistent link: https://www.econbiz.de/10011375004
Saved in:
3
A comparative study of volatility breaks
Grote, Claudia
;
Bertram, Philip
-
2015
data the tests may exhibit
non-monotonic
power
functions as the long-run variance of the squared return process is no …
Persistent link: https://www.econbiz.de/10011295307
Saved in:
4
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
5
Power monotonicity in detecting volatility levels change
Xu, Ke-li
- In:
Economics letters
121
(
2013
)
1
,
pp. 64-69
Persistent link: https://www.econbiz.de/10010187087
Saved in:
6
Power monotonicity in detecting volatility levels change
Xu, Ke-Li
- In:
Economics Letters
121
(
2013
)
1
,
pp. 64-69
-known issue of
non-monotonic
power
for the CUSUM-based tests for changing mean. Simulations and an empirical example provide …
Persistent link: https://www.econbiz.de/10010702780
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