Testing for the Markov Property in Time Series

CORC > 厦门大学 > 王亚南院－已发表论文

	Testing for the Markov Property in Time Series
	Bin Chen ; Yongmiao Hong
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=190
	2013-11-08
关键词	Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
英文摘要	The Markov property is a fundamental property in time series analysis and is often assumed in economic and nancial modelling. We develop a new test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the Markov property in every conditional moment (if exists) and over many lags. The proposed test is applicable to both univariate and multivariate time series with discrete or continuous distributions. Simulation studies show that with the use of a smoothed nonparametric transition density-based bootstrap procedure, the proposed test has reasonable sizes and all-around power against several popular non-Markov alternatives in nite samples. We apply the test to a number of nancial time series and nd some evidence against the Markov property.; This paper is forthcoming in Econometric Theory.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56985]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Bin Chen,Yongmiao Hong . Testing for the Markov Property in Time Series[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=190,2013.
APA	Bin Chen,&Yongmiao Hong .(2013).Testing for the Markov Property in Time Series.http://www.wise.xmu.edu.cn/paperInfor.asp?id=190.
MLA	Bin Chen,et al."Testing for the Markov Property in Time Series".http://www.wise.xmu.edu.cn/paperInfor.asp?id=190 (2013).