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

Abstract: 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
Date: 1996
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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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