Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization
Chang-Jin Kim (),
Charles Nelson and
Richard Startz ()
Discussion Papers in Economics at the University of Washington from Department of Economics at the University of Washington
Privious work reported that heteroskedasticity did not affect the sampling distribution of the variance ratio, or had assumed that the investigator know a priori the pattern of heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three state Markov-switching model to show heteroskedasticity affects inference and suggest two strategies for valid inference.
Keywords: SAMPLING; ECONOMIC MODELS; STATISTICS (search for similar items in EconPapers)
JEL-codes: C42 C43 (search for similar items in EconPapers)
Pages: 26 pages
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Working Paper: Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:washer:96-11
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