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Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization

Author

Listed:
  • Kim, C.J.
  • Nelson, C.R.
  • Startz, R.

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.

Suggested Citation

  • Kim, C.J. & Nelson, C.R. & Startz, R., 1996. "Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization," Discussion Papers in Economics at the University of Washington 96-11, Department of Economics at the University of Washington.
    • Handle: RePEc:fth:washer:96-11
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    Keywords

    SAMPLING; ECONOMIC MODELS; STATISTICS;
    All these keywords.

    JEL classification:

    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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