.png){kind=icon}
返回
A SIMPLE MULTIPLE VARIANCE RATIO TEST
.png){kind=icon}
PRE
AI
DOI：10.1016/0304-4076(93)90051-6.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Empirical applications of the variance ratio (VR) test frequently employ multiple VR estimates to examine the random walk hypothesis against stationary alternatives. Failing to control the joint test size for these estimates results in very large Type I errors. This manuscript extends the Lo and MacKinlay (1988) methodology and provides a simple modification for testing multiple variance ratios. Monte Carlo results indicate that the size of our test is close to its nominal size and that it is as reliable as the Dickey-Fuller (D-F) and the Phillips-Perron (P-P) unit root tests. For a stationary AR(1) alternative, our test is comparable to both the D-F and the P-P tests and seems to be more powerful than these tests against two unit root alternatives, an ARIMA(1,1,1) and an ARIMA(1,1,0).
Keyword:
AUTOREGRESSIVE TIME-SERIES
UNIT-ROOT
MEAN REVERSION
STOCK-PRICES
REGRESSION
POWER
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.3K
被引数:
3.0W
机构
暂无机构信息
引用论文
.png){kind=icon}
分享收藏Synthesis and characterization of aromatic poly(ether ketone)s containing cyclotriphosphazene units
PREAI
分享收藏分享收藏
查看更多内容