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Description
  • We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between reasons for these changes, such as shifting means, random walk behavior, and constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simlutaneously sensitive to all these types of alternatives. The results are underlined by a simulation study and an application to returns of the German stock index DAX.
  • We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between reasons for these changes, such as shifting means, random walk behavior, and constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simlutaneously sensitive to all these types of alternatives. The results are underlined by a simulation study and an application to returns of the German stock index DAX. (en)
Title
  • On distinguishing between random walk and changes in the mean alternatives
  • On distinguishing between random walk and changes in the mean alternatives (en)
skos:prefLabel
  • On distinguishing between random walk and changes in the mean alternatives
  • On distinguishing between random walk and changes in the mean alternatives (en)
skos:notation
  • RIV/00216208:11320/09:00207026!RIV10-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA201/06/0186), Z(MSM0021620839)
http://linked.open...iv/cisloPeriodika
  • 25
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 331375
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/09:00207026
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • distinguishing; between; random; changes; alternatives (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [4D5FD4D1C4B4]
http://linked.open...i/riv/nazevZdroje
  • Econometric Theory
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2009
http://linked.open...iv/tvurceVysledku
  • Aue, Alexander
  • Horvath, Lajos
  • Hušková, Marie
  • Ling, Shioing
http://linked.open...ain/vavai/riv/wos
  • 000264118600004
http://linked.open...n/vavai/riv/zamer
issn
  • 0266-4666
number of pages
http://localhost/t...ganizacniJednotka
  • 11320
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