Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data
Two aspects of statistical inference using variance-ratio statistics are studied, (1) the accuracy of asymptotic approximations in small samples and (2) the size distortion arising from searching over many horizons in deciding whether to reject a model. A joint test combining variance-ratio statistics at various horizons is proposed and a Monte Carlo procedure for conducting exact inference is provided. The real output data of nine countries are used to discuss these issues.
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Volume (Year): 12 (1994)
Issue (Month): 2 (April)
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