کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146218 1489684 2013 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal rank-based tests for block exogeneity in vector autoregressions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Optimal rank-based tests for block exogeneity in vector autoregressions
چکیده انگلیسی
The aim of this paper is to construct a class of locally asymptotically most stringent (in the Le Cam sense) tests for independence between two sets of variables in the V AR models. These tests are based on multivariate ranks of distances and multivariate signs of the observations and are shown to be asymptotically distribution-free under very mild assumptions on the noise, which is obtained by applying a linear transformation to marginally spherical innovations. The class of tests derived is invariant with respect to the group of block affine transformations and asymptotically invariant with respect to the group of continuous monotone marginal radial transformations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 116, April 2013, Pages 141-162
نویسندگان
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