Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation
Abstract
This paper presents a complete framework for testing procedure based on statistical theory of Markov chains.(This abstract was borrowed from another version of this item.)
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Bibliographic Info
Article provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 137 (2002)
Issue (Month): 3 (March)
Pages: 524-543
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Handle: RePEc:eee:ejores:v:137:y:2002:i:3:p:524-543
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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).
Related research
Keywords:Other versions of this item:
- Tan, B. & Yilmaz, K., 1999. "Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation," Papers 99/03, Koc University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
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