ORCID
0000-0002-5860-5032
Date of Award
4-3-2024
Degree Name
Doctor of Philosophy (PhD)
Degree Type
Dissertation
Abstract
I propose a likelihood ratio test for fixed unit root against time switching unit root models. Our test is different from the existing jump detection literature centered on the application of various forms of Augmented Dickey-Fuller tests. Our methodology involves the inclusion of random coefficients, which effectively capture both expansion and contraction behaviors. We show that the contiguous alternatives converge to the null hypothesis at the order of $T^{-3/4}$, where $T$ is the sample size. Our test is asymptotically optimal in the sense that it maximizes a weighted power function. We derive the asymptotic distribution of our test under the null and local alternatives.
Language
English (en)
Chair and Committee
Werner Ploberger
Recommended Citation
Zhang, Li, "Likelihood Ratio Test for Markov Switching Parameters" (2024). Arts & Sciences Electronic Theses and Dissertations. 3079.
https://openscholarship.wustl.edu/art_sci_etds/3079