Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization
AbstractPrivious 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.
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Bibliographic InfoPaper provided by University of Washington, Department of Economics in its series Working Papers with number 96-11.
Length: 26 pages
Date of creation: 1996
Date of revision:
SAMPLING; ECONOMIC MODELS; STATISTICS;
Other versions of this item:
- 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.
- 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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