Size and power properties of the AH test of evolutionary change


Autoria(s): Wild, P.
Contribuinte(s)

W.A. Barnett

Data(s)

01/01/2001

Resumo

We investigate the size and power properties of the AH test of evolutionary change. This involves examining whether the size results are sensitive to both the number of individual frequencies estimated and the spectral shape adopted under the null hypothesis. The power tests examine whether the test has good power to detect shifts in both spectral position (variance) and spectral shape (autocovariance structure).

Identificador

http://espace.library.uq.edu.au/view/UQ:60656

Idioma(s)

eng

Publicador

Cambridge University Press

Palavras-Chave #Economics #Cusum Test #Evolutionary Change #Aggregate Homogeneity #CX #340403 Time-Series Analysis #720100 Macroeconomic Issues
Tipo

Journal Article