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Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation

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Author Info
Tan, B.
Yilmaz, K.

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Abstract

This paper presents a complete framework for testing procedure based on statistical theory of Markov chains.

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Publisher Info
Paper provided by Koc University in its series Papers with number 99/03.

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Length: 31 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:kocuni:99/03

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Postal: Koc University. Intinye 80860. Istanbul Turkey
Phone: (90+212)-229-3006 x464
Fax: (90+212)-229-1971
Email:
Web page: http://www.ku.edu.tr/ku/index.php?option=com_content&task=view&id=78&Itemid=296
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Related research
Keywords: TESTS ECONOMIC MODELS

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
Statistics
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