On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

P. S. Sephton

首页> 外文期刊>Applied Economics >On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

【24h】

On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

机译：分数积分的Nielsen多元似然比检验的经验大小

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Nielsen (2004) provides multivariate maximum likelihood procedures to test whether several series are fractionally integrated. This note examines the finite sample size of the likelihood ratio tests applied to a bivariate system experiencing breaks in means. The results suggest that tests of a common unit root are somewhat undersized in small samples.

机译：Nielsen（2004）提供了多元最大似然程序，以测试几个序列是否被部分积分。本说明研究了应用于均值中断的双变量系统的似然比检验的有限样本量。结果表明，在小样本中，对公共单位根的测试有些偏小。

著录项

来源
《Applied Economics》 |2010年第15期|P.1671-1679|共9页
作者
P. S. Sephton;
展开▼
作者单位

School of Business, Queens University, Goodes Hall, Kingston, Ontario, K7m8m5, Canada;

展开▼
收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词

相似文献

外文文献
中文文献
专利

1. On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration [J] . Applied Economics . 2010,第13期

机译：分数积分的Nielsen多元似然比检验的经验大小
2. On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration [J] . P. S. Sephtona* Applied Economics . 2010,第13期

机译：分数积分的Nielsen多元似然比检验的经验大小
3. The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size [J] . EMMANUEL DUBOIS, SANDRINE LARDIC, VALERIE MIGNON Computational economics . 2004,第3期

机译：精确的基于最大似然的分数协整检验：临界值，功效和大小
4. An Empirical Study of Activity, Popularity, Size, Testing, and Stability in Continuous Integration [C] . Aakash Gautam, Saket Vishwasrao, Francisco Servant Working Conference on Mining Software Repositories . 2017

机译：持续整合中活动，受欢迎程度，规模，测试和稳定性的实证研究
5. On tapering, fractional cointegration and goodness of fit tests in long-memory time series [D] . Chen, Willa Wei-Han. 2000

机译：关于长记忆时间序列的渐减，分数协整和拟合优度
6. Reconsidering the asymptotic null distribution of likelihood ratio tests for genetic linkage in multivariate variance components models under complete pleiotropy [O] . Summer S. Han, Joseph T. Chang -1

机译：重新考虑完全多效性下多元方差成分模型中遗传连锁的似然比检验的渐近零分布
7. Likelihood based testing for no fractional co-integration [O] . Lasak K.A. 2010

机译：基于可能性的测试，无分数协整

On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration

摘要

著录项

相似文献

相关主题

期刊订阅