Download or read book The Variance Ratio Test with Stable Paretian Errors written by Y. K. Tse and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the distribution of the overlapping variance ratio (OVR) statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its asymptotic limit is extremely slow. Thus, the asymptotic results will not be able to provide any useful approximation in finite samples. To facilitate the OVR statistic as a test for the random walk hypothesis, the tail quantiles are estimated for several finite sample sizes.
Download or read book Inequalities and Extremal Problems in Probability and Statistics written by Iosif Pinelis and published by Academic Press. This book was released on 2017-05-10 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inequalities and Extremal Problems in Probability and Statistics: Selected Topics presents various kinds of useful inequalities that are applicable in many areas of mathematics, the sciences, and engineering. The book enables the reader to grasp the importance of inequalities and how they relate to probability and statistics. This will be an extremely useful book for researchers and graduate students in probability, statistics, and econometrics, as well as specialists working across sciences, engineering, financial mathematics, insurance, and mathematical modeling of large risks. - Teaches users how to understand useful inequalities - Applicable across mathematics, sciences, and engineering - Presented by a team of leading experts
Download or read book The Variance Ratio Test written by Jon Faust and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Analysis of Variance written by D. Gerwyn Lewis and published by Manchester University Press. This book was released on 1971 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2002 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometrics written by Dilip M. Nachane and published by Oxford University Press, USA. This book was released on 2006-10-19 with total page 888 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook covers both the theory and the applications aspects of econometrics for identifying and formulating answers to practical questions. Aimed at Indian students at the post-graduate level , this is a comprehensive volume in its coverage of topics, assumes knowledge of advanced undergraduate algebra, contains exercises and solved examples, and uses applications from the Indian economy and data from both India and the West.
Download or read book On the Asymptotic Power of the Variance Ratio Test written by Rohit Deo and published by . This book was released on 2008 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The variance ratio test statistic, which is based on k-period differences of the data, iscommonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing with the sample size n such that k/n ' acute; gt; 0. We show that the test is inconsistent against a variety of mean reverting alternatives, confirm the result in simulations, and then characterise the functional form of the asymptotic power in terms of acute; and these alternatives.
Download or read book Journal of the American Statistical Association written by and published by . This book was released on 1988 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introduction to Analysis of Variance Procedures written by John Gaito and published by . This book was released on 1973 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variance Ratio Test for Mean Reversion in Financial and Economic Series written by S-H. Poon and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1989 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Variance Ratio Tests for Serial Dependence and a Test for Mean Reversion written by Jon Faust and published by . This book was released on 1989 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Introduction to Bartlett Correction and Bias Reduction written by Gauss M. Cordeiro and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise introduction to Bartlett and Bartlett-type corrections of statistical tests and bias correction of point estimators. The underlying idea behind both groups of corrections is to obtain higher accuracy in small samples. While the main focus is on corrections that can be analytically derived, the authors also present alternative strategies for improving estimators and tests based on bootstrap, a data resampling technique and discuss concrete applications to several important statistical models.
Download or read book A Small sample Overlapping Variance ratio Test written by Yiu Kuen Tse and published by . This book was released on 2002 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proposes to approximate the small-sample distribution of the modified statistic using a Beta distribution that matches the mean and the variance.
Download or read book International Financial Markets written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Download or read book A Small Sample Overlapping Variance Ratio Test written by Y. K. Tse and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper, we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified statistic using a beta distribution that matches the (exact) mean and the (asymptotic) variance. A Monte Carlo experiment shows that the beta approximation performs well in small samples.
Download or read book Statistical Analysis written by Clark A. Hawkins and published by HarperCollins Publishers. This book was released on 1980 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt:
