$Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process$

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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書目詳細資料
Main Authors:	TANAKA, Katsuto, XIAO, Weilin, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Panel fractional Ornstein-Uhlenbeck process Least squares Asymptotic distribution Local alternative Local power Econometrics
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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