Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization.

Privious work reported that heteroskedasticity did not affect the sampling distribution of the variance ratio, or had assumed that the investigator know a priori the pattern of heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three state Markov-switching model to show heteroskedasticity affects inference and suggest two strategies for valid inference.

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Year of publication:	1996
Authors:	Kim, C.J. ; Nelson, C.R. ; Startz, R.
Institutions:	Department of Economics, University of Washington
Subject:	SAMPLING \| ECONOMIC MODELS \| STATISTICS

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Series:	Discussion Papers in Economics at the University of Washington.
Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C42 - Survey Methods ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005474586