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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | 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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| Institution: | Singapore Management University |
| Language: | English |