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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F09%3A00207026%21RIV10-GA0-11320___
rdf:type
skos:Concept n18:Vysledek
dcterms: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.
dcterms:title
On distinguishing between random walk and changes in the mean alternatives On distinguishing between random walk and changes in the mean alternatives
skos:prefLabel
On distinguishing between random walk and changes in the mean alternatives On distinguishing between random walk and changes in the mean alternatives
skos:notation
RIV/00216208:11320/09:00207026!RIV10-GA0-11320___
n3:aktivita
n14:P n14:Z
n3:aktivity
P(GA201/06/0186), Z(MSM0021620839)
n3:cisloPeriodika
25
n3:dodaniDat
n12:2010
n3:domaciTvurceVysledku
n19:3299503
n3:druhVysledku
n11:J
n3:duvernostUdaju
n17:S
n3:entitaPredkladatele
n9:predkladatel
n3:idSjednocenehoVysledku
331375
n3:idVysledku
RIV/00216208:11320/09:00207026
n3:jazykVysledku
n7:eng
n3:klicovaSlova
distinguishing; between; random; changes; alternatives
n3:klicoveSlovo
n13:alternatives n13:distinguishing n13:between n13:changes n13:random
n3:kodStatuVydavatele
US - Spojené státy americké
n3:kontrolniKodProRIV
[4D5FD4D1C4B4]
n3:nazevZdroje
Econometric Theory
n3:obor
n4:BA
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
4
n3:projekt
n8:GA201%2F06%2F0186
n3:rokUplatneniVysledku
n12:2009
n3:svazekPeriodika
2009
n3:tvurceVysledku
Aue, Alexander Hušková, Marie Ling, Shioing Horvath, Lajos
n3:wos
000264118600004
n3:zamer
n15:MSM0021620839
s:issn
0266-4666
s:numberOfPages
31
n16:organizacniJednotka
11320