Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process
Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the nu...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2020
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2358 https://ink.library.smu.edu.sg/context/soe_research/article/3357/viewcontent/LSE_test_14_.pdf |
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| 總結: | Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the null hypothesis the persistence parameter is zero. Based on a panel of continuous record of observations, the null asymptotic distributions are obtained when T is fixed and N is assumed to go to infinity, where T is the time span of the sample and N is the number of cross sections. The power function of the tests is obtained under the local alternative where the persistence parameter is close to zero in the order of 1/(T√N). The local power of the proposed test statistics is computed and compared with that of the maximum-likelihood-based test. The hypothesis testing problem and the local power function are also considered when a panel of discrete-sampled observations is available under a sequential limit. |
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