Local Powers of the MLE-Based Test for the Panel Fractional Ornstein-Uhlenbeck Process
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説明
We consider the testing problem associated with the panel or longitudinal fractional Ornstein-Uhlenbeck (fO-U) processes driven by independent fractional Brownian motions (fBms), where the sign of the drift parameter of each fO-U process is tested, assuming that the Hurst parameter H is known. Since the test has a trivial consistent property against a fixed alternative, we employ the local alternative hypothesis that the drift parameter is close to the null in the order of 1/(TN ), where T is the sampling span and N is the cross section dimension with 0 < η < 1. Then, for a given value of H, we compute the local power as N increases with any T.
収録刊行物
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- 學習院大學經濟論集
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學習院大學經濟論集 57 (4), 169-182, 2021-02
学習院大学経済学会
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詳細情報 詳細情報について
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- CRID
- 1050007749990596352
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- NII論文ID
- 120007141653
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- NII書誌ID
- AN00038827
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- HANDLE
- 10959/00005055
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- NDL書誌ID
- 031656489
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- ISSN
- 00163953
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- 本文言語コード
- en
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- IRDB
- NDL
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