haku: @author Phillips, P. C. B. / yhteensä: 7
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| Tekijä: | Quintos, C. Fan, Z. Phillips, P. C. B. |
| Otsikko: | Structural Change Tests in Tail Behaviour and the Asian Crisis |
| Lehti: | Review of Economic Studies
2001 : VOL. 68(3):236, p. 633-664 |
| Asiasana: | STRUCTURAL CHANGE TESTS ASIA |
| Kieli: | eng |
| Tiivistelmä: | This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The recursive test is shown to be inconsistent in one direction, and only a one-sided test is recommended. Specifically, the test can be used when the alternative hypothesis is that the tail index decreases over time. A rolling and sequential version of the test is consistent in both directions. The methods are illustrated on recent stock price data for Thailand, Malaysia and Indonesia. |
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