کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096556 1376534 2011 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized runs tests for the IID hypothesis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Generalized runs tests for the IID hypothesis
چکیده انگلیسی
We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 162, Issue 2, June 2011, Pages 326-344
نویسندگان
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