Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation
AbstractThis paper presents a complete framework for testing procedure based on statistical theory of Markov chains.
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Bibliographic InfoPaper provided by Koc University in its series Papers with number 99/03.
Length: 31 pages
Date of creation: 1999
Date of revision:
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Postal: Koc University. Intinye 80860. Istanbul Turkey
Web page: http://case.ku.edu.tr/tr/econ/home
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TESTS ; ECONOMIC MODELS;
Other versions of this item:
- Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
- 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 &bull Diffusion Processes
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