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Essays on Likelihood Ratio Test for ...

Zhang, Li.

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Essays on Likelihood Ratio Test for Markov Switching.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Likelihood Ratio Test for Markov Switching./
Author:	Zhang, Li.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2024,
Description:	48 p.
Notes:	Source: Dissertations Abstracts International, Volume: 85-10, Section: A.
Contained By:	Dissertations Abstracts International85-10A.
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30997218
ISBN:	9798381981155

Essays on Likelihood Ratio Test for Markov Switching.
Zhang, Li.

Essays on Likelihood Ratio Test for Markov Switching. - Ann Arbor : ProQuest Dissertations & Theses, 2024 - 48 p.

Source: Dissertations Abstracts International, Volume: 85-10, Section: A.

Thesis (Ph.D.)--Washington University in St. Louis, 2024.

I propose a likelihood ratio test for fixed unit root against time switching unit root models. Our test is different from the existing jump detection literature centered on the application of various forms of Augmented Dickey-Fuller tests. Our methodology involves the inclusion of random coefficients, which effectively capture both expansion and contraction behaviors. We show that the contiguous alternatives converge to the null hypothesis at the order of T-3/4, where T is the sample size. Our test is asymptotically optimal in the sense that it maximizes a weighted power function. We derive the asymptotic distribution of our test under the null and local alternatives.

ISBN: 9798381981155Subjects--Index Terms:

Dickey-Fuller tests

Essays on Likelihood Ratio Test for Markov Switching.
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100 1 $a Zhang, Li. $3 729094
245 1 0 $a Essays on Likelihood Ratio Test for Markov Switching.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2024
300 $a 48 p.
500 $a Source: Dissertations Abstracts International, Volume: 85-10, Section: A.
500 $a Advisor: Ploberger, Werner.
502 $a Thesis (Ph.D.)--Washington University in St. Louis, 2024.
520 $a I propose a likelihood ratio test for fixed unit root against time switching unit root models. Our test is different from the existing jump detection literature centered on the application of various forms of Augmented Dickey-Fuller tests. Our methodology involves the inclusion of random coefficients, which effectively capture both expansion and contraction behaviors. We show that the contiguous alternatives converge to the null hypothesis at the order of T-3/4, where T is the sample size. Our test is asymptotically optimal in the sense that it maximizes a weighted power function. We derive the asymptotic distribution of our test under the null and local alternatives.
590 $a School code: 0252.
653 $a Dickey-Fuller tests
653 $a Asymptotic distribution
653 $a Markov switching
690 $a 0511
690 $a 0501
710 2 $a Washington University in St. Louis. $b Economics. $3 1672998
773 0 $t Dissertations Abstracts International $g 85-10A.
790 $a 0252
791 $a Ph.D.
792 $a 2024
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30997218