SIZE AND POWER PROPERTIES OF THE AH TEST OF EVOLUTIONARY CHANGE

Phillip Wild ()

Macroeconomic Dynamics, 2001, vol. 5, issue 05, pages 748-763

Abstract: We investigate the size and power properties of the AH test of evolutionary change. This involves examining whether the size results are sensitive to both the number of individual frequencies estimated and the spectral shape adopted under the null hypothesis. The power tests examine whether the test has good power to detect shifts in both spectral position (variance) and spectral shape (autocovariance structure).

Date: 2001
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