Ratio Test for Persistence Change in Trending Time Series
Abstract
proved under the alternative hypothesis. Finally, Monte Carlo simulations are conducted. The results show that the proposed test can control
the empirical size well under the null hypothesis and has relatively high empirical power under the alternative hypothesis, which demonstrates
the feasibility of the testing method.
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DOI: http://dx.doi.org/10.70711/frim.v4i8.10011
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